Lihua Lei

Forecasting Inflation with Microdata: An Adaptive Machine Learning Approach

Catherine Chen, Chen Gao, Jonathon Hazell, Lihua Lei, Chen Lian

Does microeconomic heterogeneity help to forecast aggregate inflation in a non-stationary environment? We develop a scan test for whether one forecast outperforms another, over an interval with unknown starting point and duration. To exploit any occasional forecasting power that…Read more