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Unobserved Component Model for Forecasting Polish Inflation

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  • Jacek Kwiatkowski

    ()
    (Nicolaus Copernicus University in Torun)

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    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.

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    File URL: http://www.dem.umk.pl/dem/archiwa/v10/10_JKwiatkowski.pdf
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    Bibliographic Info

    Article provided by Uniwersytet Mikolaja Kopernika in its journal Dynamic Econometric Models.

    Volume (Year): 10 (2010)
    Issue (Month): ()
    Pages: 121-129

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    Handle: RePEc:cpn:umkdem:v:10:y:2010:p:121-129

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    Related research

    Keywords: local level model; inflation; conditional heteroscedasticity.;

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