Proyecciones de Inflación con Precios de Frecuencia Mixta: el caso Chileno
This paper develops time series models that incorporate mixed-frequency data of prices in< order to yield a real-time forecast of the inflation of some CPI components in Chile. Specifically, the models use weekly prices obtained from the two main Chilean supermarket chains, in addition to autoregressive variables and monthly moving averages. The selection of the best forecasting model is made according to the lowest out-of-sample root mean squared error criterion. The predictive ability of these models in real-time is then compared with simple benchmark models. The results show that significant gains in predictability can be made by using the weekly data, despite the small number of observations available. This difference is significant according to several standard tests used in the related literature.
Year of publication: |
2011-07
|
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Authors: | Becerra, Juan Sebastian ; Saavedra, Carlos |
Institutions: | Banco Central de Chile |
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