Econometric modelling for short-term inflation forecasting in the euro area
| Autor: | Rebeca Albacete, Antoni Espasa |
|---|---|
| Rok vydání: | 2007 |
| Předmět: |
core inflation
Inflation cointegration Cointegration Strategy and Management media_common.quotation_subject Aggregate (data warehouse) Degrees of freedom (statistics) VEqCM Context (language use) Estadística Management Science and Operations Research Computer Science Applications Term (time) Modeling and Simulation Econometrics Economics Statistics Probability and Uncertainty sectorial and geographical disaggregation combination of forecasts Relevant information Core inflation media_common |
| Zdroj: | e-Archivo. Repositorio Institucional de la Universidad Carlos III de Madrid instname |
| ISSN: | 1099-131X 0277-6693 |
| DOI: | 10.1002/for.1021 |
| Popis: | This paper examines the problem of forecasting macro-variables which are observed monthly (or quarterly) and result from geographical and sectorial aggregation. The aim is to formulate a methodology whereby all relevant information gathered in this context could provide more accurate forecasts, be frequently updated, and include a disaggregated explanation as useful information for decision-making. The appropriate treatment of the resulting disaggregated data set requires vector modelling, which captures the long-run restrictions between the different time series and the short-term correlations existing between their stationary transformations. Frequently, due to a lack of degrees of freedom, the vector model must be restricted to a block-diagonal vector model. This methodology is applied in this paper to inflation in the euro area, and shows that disaggregated models with cointegration restrictions improve accuracy in forecasting aggregate macro-variables. Copyright © 2007 John Wiley & Sons, Ltd. Publicado |
| Databáze: | OpenAIRE |
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