Inflation forecasting using dynamic factor analysis. SAS 4GL programming approach
AbstractThe purpose of this article is to introduce an original macro code written in SAS 4GL. This macro is used to automate the process of forecasting with dynamic factor analysis. Automation of the process helps to save significant amounts of time and effort for the researcher. It also enables to compare different model specifications directly and, hence, to make conclusions that would be imperceptible without such automation, which is shown on the empirical study example.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoPaper provided by Department of Applied Econometrics, Warsaw School of Economics in its series Working Papers with number 63.
Date of creation: 16 Sep 2012
Date of revision:
Contact details of provider:
Postal: 02-513 Warszawa, ul. Madalinskiego 6/8
Phone: + (48)(22) 49 12 51
Fax: + (48)(22) 49 53 12
Web page: http://www.sgh.waw.pl/instytuty/zes
More information through EDIRC
statistical programming; forecasting; factor models; inflation;
Find related papers by JEL classification:
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
- C80 - Mathematical and Quantitative Methods - - Data Collection and Data Estimation Methodology; Computer Programs - - - General
- E31 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Price Level; Inflation; Deflation
This paper has been announced in the following NEP Reports:
- NEP-ALL-2012-09-30 (All new papers)
- NEP-FOR-2012-09-30 (Forecasting)
- NEP-MON-2012-09-30 (Monetary Economics)
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Elena Angelini & Jérôme Henry & Ricardo Mestre, 2001.
"Diffusion index-based inflation forecasts for the euro area,"
BIS Papers chapters,
in: Bank for International Settlements (ed.), Empirical studies of structural changes and inflation, volume 3, pages 109-138
Bank for International Settlements.
- Elena Angelini & Jerome Henry & Ricardo Mestre, 2001. "Diffusion index-based inflation forecasts for the euro area," Working Paper Series 061, European Central Bank.
- Eickmeier, Sandra, 2007.
"Business cycle transmission from the US to Germany--A structural factor approach,"
European Economic Review,
Elsevier, vol. 51(3), pages 521-551, April.
- Eickmeier, Sandra, 2004. "Business Cycle Transmission from the US to Germany: a Structural Factor Approach," Discussion Paper Series 1: Economic Studies 2004,12, Deutsche Bundesbank, Research Centre.
- Riccardo Cristadoro & Mario Forni & Lucrezia Reichlin & Lucrezia Reichlin & Giovanni Veronese, 2005.
"A core inflation indicator for the Euro area,"
ULB Institutional Repository
2013/10131, ULB -- Universite Libre de Bruxelles.
- Geweke, John F. & Singleton, Kenneth J., 1981. "Latent variable models for time series : A frequency domain approach with an application to the permanent income hypothesis," Journal of Econometrics, Elsevier, vol. 17(3), pages 287-304, December.
- James H. Stock & Mark W. Watson, 1998. "Diffusion Indexes," NBER Working Papers 6702, National Bureau of Economic Research, Inc.
- Jörg Breitung & Sandra Eickmeier, 2006.
"Dynamic factor models,"
AStA Advances in Statistical Analysis,
Springer, vol. 90(1), pages 27-42, March.
- Del Negro, Marco & Otrok, Christopher, 2007. "99 Luftballons: Monetary policy and the house price boom across U.S. states," Journal of Monetary Economics, Elsevier, vol. 54(7), pages 1962-1985, October.
- Jushan Bai & Serena Ng, 2000.
"Determining the Number of Factors in Approximate Factor Models,"
Boston College Working Papers in Economics
440, Boston College Department of Economics.
- Jushan Bai & Serena Ng, 2002. "Determining the Number of Factors in Approximate Factor Models," Econometrica, Econometric Society, vol. 70(1), pages 191-221, January.
- Jushan Bai & Serena Ng, 2000. "Determining the Number of Factors in Approximate Factor Models," Econometric Society World Congress 2000 Contributed Papers 1504, Econometric Society.
- Forni, Mario & Lippi, Marco, 1997. "Aggregation and the Microfoundations of Dynamic Macroeconomics," OUP Catalogue, Oxford University Press, number 9780198288008, September.
- Isabel Vansteenkiste, 2009. "How Important are Common Factors in Driving Non-Fuel Commodity Prices? A Dynamic Factor Analysis," Working Paper Series 1072, European Central Bank.
- Kapetanios, George & Labhard, Vincent & Price, Simon, 2008.
"Forecast combination and the Bank of England's suite of statistical forecasting models,"
Elsevier, vol. 25(4), pages 772-792, July.
- George Kapetanios & Vincent Labhard & Simon Price, 2007. "Forecast combination and the Bank of England’s suite of statistical forecasting models," Bank of England working papers 323, Bank of England.
- Mario Forno & Marco Lippi & Lucrezia Reichlin & Filippo Altissimo & Antonio Bassanetti, 2003.
"Eurocoin: A Real Time Coincident Indicator Of The Euro Area Business Cycle,"
Computing in Economics and Finance 2003
242, Society for Computational Economics.
- Altissimo, Filippo & Bassanetti, Antonio & Cristadoro, Riccardo & Forni, Mario & Hallin, Marc & Lippi, Marco & Reichlin, Lucrezia & Veronese, Giovanni, 2001. "EuroCOIN: A Real Time Coincident Indicator of the Euro Area Business Cycle," CEPR Discussion Papers 3108, C.E.P.R. Discussion Papers.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Marcin Owczarczuk).
If references are entirely missing, you can add them using this form.