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Filters or Holt Winters Technique to Improve the Forecasts for USA Inflation Rate?

Author

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  • Mihaela Bratu (Simionescu)

    (Academy of Economic Studies, Bucharest,Romania)

Abstract

In this study, transformations of SPF inflation forecasts were made in order to get more accurate predictions. The filters application and Holt Winters technique were chosen as possible strategies of improving the predictions accuracy. The quarterly inflation rate forecasts (1975 Q1-2012 Q3) of USA made by SPF were transformed using an exponential smoothing technique- Holt Winters- and these new predictions are better than the initial ones for all forecasting horizons of 4 quarters. Some filters were applied to SPF forecasts (Hodrick- Prescott, Band-Pass and Christiano-Fitzegerald filters), but Holt Winters method was superior. Full sample asymmetric (Christiano-Fitzegerald) and Band-Pass filter smoothed values are more accurate than the SPF expectations only for some forecast horizons.

Suggested Citation

  • Mihaela Bratu (Simionescu), 2013. "Filters or Holt Winters Technique to Improve the Forecasts for USA Inflation Rate?," Acta Universitatis Danubius. OEconomica, Danubius University of Galati, issue 9(1), pages 126-136, February.
    • Handle: RePEc:dug:actaec:y:2013:i:1:p:126-136
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    File URL: http://journals.univ-danubius.ro/index.php/oeconomica/article/view/1572
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    References listed on IDEAS

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    1. Lawrence J. Christiano & Terry J. Fitzgerald, 2003. "The Band Pass Filter," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 44(2), pages 435-465, May.
    2. Razzak, W., 1997. "The Hodrick-Prescott technique: A smoother versus a filter: An application to New Zealand GDP," Economics Letters, Elsevier, vol. 57(2), pages 163-168, December.
    3. Marianne Baxter & Robert G. King, 1999. "Measuring Business Cycles: Approximate Band-Pass Filters For Economic Time Series," The Review of Economics and Statistics, MIT Press, vol. 81(4), pages 575-593, November.
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    Cited by:

    1. Mihaela Simionescu (Bratu), 2014. "The Performance of Predictions Based on the Dobrescu Macromodel for the Romanian Economy," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(3), pages 179-195, October.
    2. Simionescu, Mihaela, 2014. "New Strategies to Improve the Accuracy of Predictions based on Monte Carlo and Bootstrap Simulations: An Application to Bulgarian and Romanian Inflation || Nuevas estrategias para mejorar la exactitud de las predicciones de inflación en Rumanía y Bul," Revista de Métodos Cuantitativos para la Economía y la Empresa = Journal of Quantitative Methods for Economics and Business Administration, Universidad Pablo de Olavide, Department of Quantitative Methods for Economics and Business Administration, vol. 18(1), pages 112-129, December.
    3. Mihaela Simionescu, 2015. "A New Technique based on Simulations for Improving the Inflation Rate Forecasts in Romania," Working Papers of Institute for Economic Forecasting 150206, Institute for Economic Forecasting.
    4. Mihaela Bratu, 2013. "New Methods of Evaluating the Forecasts Accuracy: A Case Study for USA Inflation," Business and Economic Research, Macrothink Institute, vol. 3(1), pages 21-37, June.
    5. Mihaela Simionescu, 2015. "The Improvement of Unemployment Rate Predictions Accuracy," Prague Economic Papers, Prague University of Economics and Business, vol. 2015(3), pages 274-286.

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