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Density Forecasts Based on Disaggregate Data: Nowcasting Polish Inflation
Dynamic Econometric Models
View Archive Info| Field | Value | |
| Title |
Density Forecasts Based on Disaggregate Data: Nowcasting Polish Inflation
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| Creator |
Mazur, Błażej; Cracow University of Economics
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| Subject |
prediction; model comparison; density forecasting; inflation; VAR models; shrinkage
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| Description |
The paper investigates gains in performance of density forecasts from models using disaggregate data when forecasting aggregate series. The problem is considered within a restricted VAR framework with alternative sets of exclusion restrictions. Empirical analysis of Polish CPI m-o-m inflation rate (using its 14 sub-categories for disaggregate modelling) is presented. Exclusion restrictions are shown to improve density forecasting performance (as evaluated using log-score and CRPS criteria) relatively to aggregate and also disaggregate unrestricted models.
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| Publisher |
Nicolaus Copernicus University
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| Contributor |
—
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| Date |
2015-12-28
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| Type |
info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion — — |
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| Format |
application/pdf
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| Identifier |
http://apcz.umk.pl/czasopisma/index.php/DEM/article/view/DEM.2015.004
10.12775/DEM.2015.004 |
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| Source |
Dynamic Econometric Models; Vol 15 (2015); 71−87
Dynamic Econometric Models; Vol 15 (2015); 71−87 2450-7067 1234-3862 |
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| Language |
eng
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| Relation |
http://apcz.umk.pl/czasopisma/index.php/DEM/article/view/DEM.2015.004/8947
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| Rights |
Copyright (c) 2016 Dynamic Econometric Models
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