This document presents a multivariate transfer function model for two components of CPI, the processed food and non-energy industrial goods, where the component of consumption goods of industrial price index (i.e. wholesale prices) is used as a leading indicator. We find that inflation rates of...

This working paper details unit root tests for monthly series, with the possibility of the stationary part having been generated by an ARMA process. The paper is complemented by an application to the four basic stochastic components of the consumer price index. Test evidences that the long-run...

Using interpolation of the Spanish domestic private consumption deflactor, we review some of the signals extraction techniques, as well as interpolation of time series, i.e. deriving quarterly data from annual data. For the decomposition of a series in its observable components (trend plus...

To select the best leading indicators for predicting short-term inflation, an extensive number of economic variables is analysed at quarterly level on the basis of their past correlation with the consumer price index (CPI) and its services and non-energy processed goods component (IPSEBENE)....