Since 2014
Unobserved Component Model for Forecasting Polish Inflation
Dynamic Econometric Models
View Archive Info| Field | Value | |
| Title |
Unobserved Component Model for Forecasting Polish Inflation
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| Creator |
Kwiatkowski, Jacek; Nicholas Copernicus University in ToruĊ
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| Subject |
local level model, inflation, conditional heteroscedasticity
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| Description |
This paper aims to use the local level models with GARCH and SV errors to predict Polish inflation. The series to be forecast, measured monthly, is consumer price index (CPI) in Poland during 1992-2008. We selected three forecasting models i.e. LL-GARCH(1,1) with Normal or Student errors and LL-SV. A simple AR(2)-SV model is used as a benchmark to assess the accuracy of prediction. The presented results indicate, that there is no clear advantage of LL models in forecasting Polish inflation over standard AR(2)-SV model, although all the models give satisfactory results.
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| Publisher |
Nicolaus Copernicus University
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| Contributor |
—
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| Date |
2010-07-17
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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.pl/czasopisma/index.php/DEM/article/view/DEM.2010.010
10.12775/DEM.2010.010 |
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| Source |
Dynamic Econometric Models; Vol 10 (2010); 121-129
Dynamic Econometric Models; Vol 10 (2010); 121-129 2450-7067 1234-3862 |
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| Language |
eng
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| Relation |
http://apcz.pl/czasopisma/index.php/DEM/article/view/DEM.2010.010/4032
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