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Forecasting measures of inflation for the Estonian economy

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  • Agostino Consolo

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    Abstract

    The aim of this paper is to forecast some of the most important measures of inflation of the Estonian economy by making use of linear and non-linear models. Results from comparing classes of optimal models are similar to those in the forecasting literature. In particular, there are gains from using more sophisticated methods such as factor analysis and time-varying parameters methods. Model discrimination is based on evaluation criteria which are computed by a real-time dynamic estimation procedure. Moreover, forecasts uncertainty is appropriately taken into account: Fan Charts can exhaustively describe the final output for what concerns out-of-sample forecasting.

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    File URL: http://www.eestipank.info/pub/en/dokumendid/publikatsioonid/seeriad/uuringud/_2006/_3_2006/_wp_306.pdf
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    Bibliographic Info

    Paper provided by Bank of Estonia in its series Bank of Estonia Working Papers with number 2006-03.

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    Length: 41 pages
    Date of creation: 10 Oct 2006
    Date of revision: 12 Nov 2006
    Publication status: published
    Handle: RePEc:eea:boewps:wp2006-03

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    Postal: Estonia bld. 13, 15095 Tallinn, ESTONIA
    Phone: +3726680719
    Fax: +3726680900
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    Web page: http://www.bankofestonia.info
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    Postal: Estonia bld. 13, 15095 Tallinn, ESTONIA
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    Related research

    Keywords: Estonian Economy; forecasting; inflation modelling;

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    References

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    1. Jonas D. M. Fisher & Chin Te Liu & Ruilin Zhou, 2002. "When can we forecast inflation?," Economic Perspectives, Federal Reserve Bank of Chicago, issue Q I, pages 32-44.
    2. Marcellino, Massimiliano, 2002. "Instability and Non-Linearity in the EMU," CEPR Discussion Papers 3312, C.E.P.R. Discussion Papers.
    3. Andrew Atkeson & Lee E. Ohanian., 2001. "Are Phillips curves useful for forecasting inflation?," Quarterly Review, Federal Reserve Bank of Minneapolis, issue Win, pages 2-11.
    4. James H. Stock & Mark W. Watson, 1994. "Evidence on Structural Instability in Macroeconomic Time Series Relations," NBER Technical Working Papers 0164, National Bureau of Economic Research, Inc.
    5. Carlo Ambrogio Favero & Massimilano Marcellino & Francesca Neglia, . "Principal components at work: The empirical analysis of monetary policy with large datasets," Working Papers 223, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
    6. Kazimi, Camilla & Brownstone, David, 1999. "Bootstrap confidence bands for shrinkage estimators," Journal of Econometrics, Elsevier, vol. 90(1), pages 99-127, May.
    7. Gordon, Robert J, 1996. "The Time-varying NAIRU and its Implications for Economic Policy," CEPR Discussion Papers 1492, C.E.P.R. Discussion Papers.
    8. Stephen G. Cecchetti & Rita S. Chu & Charles Steindel, 2000. "The unreliability of inflation indicators," Current Issues in Economics and Finance, Federal Reserve Bank of New York, vol. 6(Apr).
    9. Kevin J. Lansing, 2002. "Can the Phillips curve help forecast inflation?," FRBSF Economic Letter, Federal Reserve Bank of San Francisco, issue oct4.
    10. Chang-Jin Kim & Charles R. Nelson, 1999. "State-Space Models with Regime Switching: Classical and Gibbs-Sampling Approaches with Applications," MIT Press Books, The MIT Press, edition 1, volume 1, number 0262112388, December.
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