Unobserved Component Model for Forecasting Polish Inflation

dc.contributor.authorKwiatkowski, Jacekpl
dc.date.accessioned2014-11-07T08:50:46Z
dc.date.available2014-11-07T08:50:46Z
dc.date.issued2010-07-17pl
dc.description.abstractThis 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.en
dc.identifier.citationDynamic Econometric Models, Vol. 10, pp. 121-129pl
dc.identifier.issn1234-3862pl
dc.identifier.otherdoi:10.12775/DEM.2010.010pl
dc.identifier.urihttp://repozytorium.umk.pl/handle/item/2240
dc.language.isoengpl
dc.rightsAttribution-NoDerivs 3.0 Polandpl
dc.rightsinfo:eu-repo/semantics/openAccesspl
dc.rights.urihttp://creativecommons.org/licenses/by-nd/3.0/pl/pl
dc.subjectlocal level modelen
dc.subjectinflationen
dc.subjectconditional heteroscedasticityen
dc.titleUnobserved Component Model for Forecasting Polish Inflationpl
dc.typeinfo:eu-repo/semantics/articlepl

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