Similar Search Results

Forecasting inflation in Vietnam with univariate and vector autoregressive models

Tran Thanh Hoa - 2017

In this paper, I apply univariate and vector autoregressive (VAR) models to forecast inflation in Vietnam. To investigate the forecasting performance of the models, two naive benchmark models (one is a variant of a random walk and the other is an autoregressive model) are first built based on...

Persistent link: https://www.econbiz.de/10011606109

A Noncausal Autoregressive Model with Time-Varying Parameters : An Application to U.S. Inflation

Lanne, Markku - 2013

We propose a noncausal autoregressive model with time-varying parameters, and apply it to U.S. postwar inflation. The model fits the data well, and the results suggest that inflation persistence follows from future expectations. Persistence has declined in the early 1980s and slightly increased...

Persistent link: https://www.econbiz.de/10013084430

Modelling seasonalities in nonlinear inflation rates using SEASETARs

Gooijer, Jan G. de; Vidiella-i-Anguera, Antoni - 2000

In this paper, we present a new time series model, whichdescribes self-exciting threshold autoregressive (SETAR) nonlinearityand seasonality simultaneously. The model is termed multiplicativeseasonal SETAR (SEASETAR). It can be viewed as a special case of ageneral non-multiplicativeSETAR model...

Persistent link: https://www.econbiz.de/10011304390

Long memory modelling of inflation with stochastic variance and structural breaks

Bos, Charles S.; Koopman, Siem Jan; Ooms, Marius - 2007

varying size. Based on the new modelling framework and the associated estimation technique, we find remarkable changes in the …

Persistent link: https://www.econbiz.de/10011373822

Forecasting Random Walks under Drift Instability

Pesaran, M. Hashem - 2011

This paper considers forecast averaging when the same model is used but estimation is carried out over different … estimation windows. It develops theoretical results for random walks when their drift and/or volatility are subject to one or … more structural breaks. It is shown that compared to using forecasts based on a single estimation window, averaging over …

Persistent link: https://www.econbiz.de/10012714199

Forecasting Random Walks Under Drift Instability

Pesaran, M. Hashem - 2011

Persistent link: https://www.econbiz.de/10012756639

Empirical simultaneous confidence regions for path-forecasts

Jordà, Òscar; Knüppel, Malte; Marcellino, Massimiliano - 2010

-parametric estimation is impractical given commonly available predictive sample sizes. Instead, this paper derives the approximate …

Persistent link: https://www.econbiz.de/10003962215

Optimizing time-series forecasts for inflation and interest rates using simulation and model averaging

Jumah, Adusei; Kunst, Robert M. - 2008

Motivated by economic-theory concepts - the Fisher hypothesis and the theory of the term structure - we consider a …

Persistent link: https://www.econbiz.de/10009735355

Forecasting UK GDP Growth, Inflation and Interest Rates under Structural Change : A Comparison of Models with Time-Varying Parameters

Barnett, Alina - 2012

Evidence from a large and growing empirical literature strongly suggests that there have been changes in inflation and output dynamics in the United Kingdom. This is largely based on a class of econometric models that allow for time-variation in coefficients and volatilities of shocks. While...

Persistent link: https://www.econbiz.de/10013106251

Optimizing time-series forecasts for inflation and interest rates using simulation and model averaging

Jumah, Adusei; Kunst, Robert M. - 2008

Persistent link: https://www.econbiz.de/10003778880

1
2
3
4
5
6
7
8
9
10
Next
Last