Is machine learning a good tool to use in order to forecast inflation for the short term (next 2 - 3 years on a monthly or quarterly basis)?
I want to be able to forecast inflation for Canada for the next couple of years and I am trying to explore some more creative approaches to forecasting.
I am aware of the more traditional time series forecasting models like ARIMA and VAR, and I have made a basic ARIMA and VAR forecasting model in R, and I plan to make a VARX also. However, I was wondering if using neural networks is a good idea to try out. It seems to be a newer approach to time series forecasting and I'm not sure how it fits in an economic sense.
Would modeling CPI inflation and making forecasts for the next couple of years on a monthly (or quarterly) basis using machine learning of neural networks be a good idea and make economic sense? If not, are there other unconventional ways to forecast inflation?