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IMPULSE ANALYSES OF THE ROMANIAN INFLATION
Pelinescu, Elena; Dospinescu, Andrei Silviu - In: Journal for Economic Forecasting 2 (2005) 4, pp. 5-24
influenced the persistent inflation in Romania, and a VAR model for the impulse analyses. The purpose of the paper is to present …
Persistent link: https://www.econbiz.de/10005827603
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A MODEL TO FORECAST THE MONTHLY INFLATION IN ROMANIA
Pelinescu, Elena; Dospinescu, Andrei Silviu - In: Journal for Economic Forecasting 2 (2005) 3, pp. 37-58
This paper is organized in two parts, the presentation of the model of inflation for Romania, and the results of different scenarios starting from the base model. The purpose of the paper is to present an efficient instrument for the simulation and research of inflation and its determinants in...
Persistent link: https://www.econbiz.de/10005772666
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Alternative Measures of Core Inflation in Romania
Pelinescu, Elena; Dospinescu, Andrei Silviu - In: Journal for Economic Forecasting 5 (2008) 1, pp. 134-148
The paper intends to present synthetically the main approaches to computing core inflation, taking into consideration the importance of core inflation for conducting monetary policy. At the same time, the paper computes different measures of core inflation using methods based on excluding...
Persistent link: https://www.econbiz.de/10005827622
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Measuring Core Inflation in Romania Using the Dobrescu Method – A Comparative Approach
Dospinescu, Andrei Silviu - In: Journal for Economic Forecasting (2010) 2, pp. 308-319
The paper focuses on the persistent and non-persistent changes in relative prices and their relation with the volatility of the aggregated price index. From the methodological perspective, the paper analyzes the implications of the hypotheses of five main methods for calculating core inflation...
Persistent link: https://www.econbiz.de/10008492984
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Nonlinearity, Volatility and Fractional Integration in Daily Oil Prices: Smooth Transition Autoregressive ST-FI(AP)GARCH Models
Bildirici, Melike; Ersin, Özgür Ömer - In: Journal for Economic Forecasting (2014) 3, pp. 108-135
The study aims to extend the GARCH type volatility models to their nonlinear TAR (Tong, 1990) and STAR-based (Terasvirta, 1994) counter parts where both the conditional mean and the conditional variance processes follow TAR and STAR nonlinearity. The paper further investigates the models under...
Persistent link: https://www.econbiz.de/10010938020
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Perspectives on risk measurement: a critical assessment of PC-GARCH against the main volatility forecasting models
Matei, Marius - In: Journal for Economic Forecasting (2012) 1, pp. 95-115
The paper makes a critical assessment of the Principal Components-GARCH (PC-GARCH) model and argues why, when dealing with hundreds or thousands of variables, this model comes up as the most appropriate to be used. The suitability originates from the perspective of quality/cost ratio of...
Persistent link: https://www.econbiz.de/10010553158
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Prediction Based On Time Series. Applications In Quality Control
Isaic Maniu, Alexandru; Voda, Viorel Gh. - In: Journal for Economic Forecasting (2010) 1, pp. 70-80
In this paper we propose a prediction model based on time series involving EWMA type approach. After a brief historical sketch and a short presentation of the GLM - General Linear Model we construct the predictor which is an average exponentially weighted depending on previous and current values...
Persistent link: https://www.econbiz.de/10008457165
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Forecasting Based On Open Var Model
Pecican, Eugen St. - In: Journal for Economic Forecasting (2010) 1, pp. 59-69
Considering as a starting point certain advantages and limits of the VAR model, we propose an opening to include some … restore an equilibrium state or a forecast error. In order to improve the forecasting quality we introduced in the VAR model … certain variables that express previous approaches. The open VAR model was applied to short-time prognoses regarding the main …
Persistent link: https://www.econbiz.de/10008457170
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QUARTERLY GDP DATA CORRECTION USING PRINCIPAL COMPONENTS ANALYSIS. THE CASE OF THE ROMANIAN ECONOMY – GDP EXPENDITURES SIDE*
Klein, Lawrence R.; Roudoi, Andrei; Eskin, Vladimir; … - In: Journal for Economic Forecasting 1 (2004) 5, pp. 5-34
The paper estimates a medium-term forecasting model used to generate short-term series of the quarterly GDP. The GDP used was computed using the expenditures decomposition method in accordance with the national accounts, and the data were generated by applying the principal components analysis...
Persistent link: https://www.econbiz.de/10005827560
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PRINCIPAL COMPONENTS MODEL OF THE ROMANIAN ECONOMY. GDP – PRODUCTION SIDE*
Klein, Lawrence R.; Roudoi, Andrei; Eskin, Vladimir; … - In: Journal for Economic Forecasting 1 (2004) 5, pp. 52-66
The paper estimates a medium-term forecasting model used to generate short-term series of the quarterly GDP. The GDP used was computed using the production decomposition method in accordance with the national accounts, and the data were generated by applying the principal components analysis and...
Persistent link: https://www.econbiz.de/10005827562