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Combining disaggregate forecasts or combining disaggregate information to forecast an aggregate
Hendry, David F.; Hubrich, Kirstin - 2010
To forecast an aggregate, we propose adding disaggregate variables, instead of combining forecasts of those disaggregates or forecasting by a univariate aggregate model. New analytical results show the effects of changing coefficients, mis-specification, estimation uncertainty and...
Persistent link: https://www.econbiz.de/10011605201
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Nowcasting inflation using high frequency data
Modugno, Michele - 2011
This paper proposes a methodology to nowcast and forecast inflation using data with sampling frequency higher than monthly. The nowcasting literature has been focused on GDP, typically using monthly indicators in order to produce an accurate estimate for the current and next quarter. This paper...
Persistent link: https://www.econbiz.de/10011605370
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Inflation forecasting using dynamic factor analysis. SAS 4GL programming approach
Jêdrzejczyk, Adam - Zakład Ekonometrii Stosowanej, Szkoła Główna … - 2012
The purpose of this article is to introduce an original macro code written in SAS 4GL. This macro is used to automate the process of forecasting with dynamic factor analysis. Automation of the process helps to save significant amounts of time and effort for the researcher. It also enables to...
Persistent link: https://www.econbiz.de/10010700705
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Forecasting inflation with dynamic factor model – the case of Poland
Kotlowski, Jacek - Zakład Ekonometrii Stosowanej, Szkoła Główna … - 2008
model, VAR model and the model with leading indicator from the business survey. We have used 92 monthly time series from the …
Persistent link: https://www.econbiz.de/10005113479
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Modelarea inflaţiei în România
Elena, Pelinescu - In: Revista OEconomica (2006) 01
The purpose of the paper is to present an efficient instrument for simulation and research of inflation and its determinants in Romania, with a focus on the short-term impact of changes in money, foreign exchange and wage policies and controlled prices as well as the impact of external shocks as...
Persistent link: https://www.econbiz.de/10008464172
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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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Short Run and Long Run Causality in Time Series: Inference
Dufour, Jean-Marie; Pelletier, Denis; Renault, Éric - Centre Interuniversitaire de Recherche en Analyse des … - 2003
, Econometrica). We study in detail the case of VAR models and we propose linear methods based on running vector autoregressions at … applied to a VAR model of the U.S. economy. Nous proposons des méthodes pour tester des hypothèses de non-causalité à … différents horizons, tel que défini dans Dufour et Renault (1998, Econometrica). Nous étudions le cas des modèles VAR en détail …
Persistent link: https://www.econbiz.de/10005100843
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Exchange rate pass-through in the Euro Area
Mirdala, Rajmund - 2016
Time-varying exchange rate pass-through effects to domestic prices under fixed euro exchange rate perspective represent one of the most challenging implications of the common currency. The problem is even more crucial when examining crisis related redistributive effects associated with relative...
Persistent link: https://www.econbiz.de/10011561803
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Exchange rate pass-through to domestic prices in the European transition economies
Mirdala, Rajmund - 2016
exchange rate pass-through to domestic prices in the European transition economies. We estimate VAR model to investigate (1 …
Persistent link: https://www.econbiz.de/10011580512