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Unobserved Component Model for Forecasting Polish Inflation

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dc.contributor.author Kwiatkowski, Jacek
dc.date.accessioned 2014-11-07T08:50:46Z
dc.date.available 2014-11-07T08:50:46Z
dc.date.issued 2010-07-17
dc.identifier.citation Dynamic Econometric Models, Vol. 10, pp. 121-129
dc.identifier.issn 1234-3862
dc.identifier.other doi:10.12775/DEM.2010.010
dc.identifier.uri http://repozytorium.umk.pl/handle/item/2240
dc.description.abstract 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.
dc.language.iso eng
dc.rights Attribution-NoDerivs 3.0 Poland
dc.rights info:eu-repo/semantics/openAccess
dc.rights.uri http://creativecommons.org/licenses/by-nd/3.0/pl/
dc.subject local level model
dc.subject inflation
dc.subject conditional heteroscedasticity
dc.title Unobserved Component Model for Forecasting Polish Inflation
dc.type info:eu-repo/semantics/article


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