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Forecasting inflation through a bottom-up approach: How bottom is bottom?

  • Duarte, Claudia
  • Rua, Antonio

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File URL: http://www.sciencedirect.com/science/article/B6VB1-4NMV05N-2/2/dbd164cf599521905b4fe449ab25f022
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Article provided by Elsevier in its journal Economic Modelling.

Volume (Year): 24 (2007)
Issue (Month): 6 (November)
Pages: 941-953

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Handle: RePEc:eee:ecmode:v:24:y:2007:i:6:p:941-953
Contact details of provider: Web page: http://www.elsevier.com/locate/inca/30411

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  1. Ben S. Bernanke & Jean Boivin & Piotr Eliasz, 2004. "Measuring the effects of monetary policy: a factor-augmented vector autoregressive (FAVAR) approach," Finance and Economics Discussion Series 2004-03, Board of Governors of the Federal Reserve System (U.S.).
  2. Jushan Bai & Serena Ng, 2002. "Determining the Number of Factors in Approximate Factor Models," Econometrica, Econometric Society, vol. 70(1), pages 191-221, January.
  3. Hylleberg, S. & Engle, R. F. & Granger, C. W. J. & Yoo, B. S., 1990. "Seasonal integration and cointegration," Journal of Econometrics, Elsevier, vol. 44(1-2), pages 215-238.
  4. 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.
  5. Ard Reijer & Peter Vlaar, 2006. "Forecasting Inflation: An Art as Well as a Science!," De Economist, Springer, vol. 154(1), pages 19-40, 03.
  6. David Hendry & Michael P. Clements, 2001. "Economic Forecasting: Some Lessons from Recent Research," Economics Series Working Papers 78, University of Oxford, Department of Economics.
  7. James H. Stock & Mark W. Watson, 2005. "Implications of Dynamic Factor Models for VAR Analysis," NBER Working Papers 11467, National Bureau of Economic Research, Inc.
  8. Inoue, Atsushi & Kilian, Lutz, 2006. "On the selection of forecasting models," Journal of Econometrics, Elsevier, vol. 130(2), pages 273-306, February.
  9. Angelini, Elena & Henry, Jérôme & Mestre, Ricardo, 2001. "A multi-country trend indicator for euro area inflation: computation and properties," Working Paper Series 0060, European Central Bank.
  10. Massimiliano Marcellino & James H. Stock & Mark W. Watson, . "Macroeconomic Forecasting in the Euro Area: Country Specific versus Area-Wide Information," Working Papers 201, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
  11. Kwiatkowski, Denis & Phillips, Peter C. B. & Schmidt, Peter & Shin, Yongcheol, 1992. "Testing the null hypothesis of stationarity against the alternative of a unit root : How sure are we that economic time series have a unit root?," Journal of Econometrics, Elsevier, vol. 54(1-3), pages 159-178.
  12. Hubrich, Kirstin, 2005. "Forecasting euro area inflation: Does aggregating forecasts by HICP component improve forecast accuracy?," International Journal of Forecasting, Elsevier, vol. 21(1), pages 119-136.
  13. Friedrich Fritzer & Gabriel Moser & Johann Scharler, 2002. "Forecasting Austrian HICP and its Components using VAR and ARIMA Models," Working Papers 73, Oesterreichische Nationalbank (Austrian Central Bank).
  14. James H. Stock & Mark W. Watson, 1998. "Diffusion Indexes," NBER Working Papers 6702, National Bureau of Economic Research, Inc.
  15. J. Joseph Beaulieu & Jeffrey A. Miron, 1992. "Seasonal Unit Roots in Aggregate U.S. Data," NBER Technical Working Papers 0126, National Bureau of Economic Research, Inc.
  16. Granger, Clive W.J. & YOON, GAWON, 2001. "Self-Generating Variables in a Cointegrated VAR Framework," University of California at San Diego, Economics Working Paper Series qt6010k0xn, Department of Economics, UC San Diego.
  17. Francis X. Diebold & Robert S. Mariano, 1994. "Comparing Predictive Accuracy," NBER Technical Working Papers 0169, National Bureau of Economic Research, Inc.
  18. Marcellino, Massimiliano & Stock, James H. & Watson, Mark W., 2006. "A comparison of direct and iterated multistep AR methods for forecasting macroeconomic time series," Journal of Econometrics, Elsevier, vol. 135(1-2), pages 499-526.
  19. Benalal, Nicholai & Diaz del Hoyo, Juan Luis & Landau, Bettina & Roma, Moreno & Skudelny, Frauke, 2004. "To aggregate or not to aggregate? Euro area inflation forecasting," Working Paper Series 0374, European Central Bank.
  20. James H. Stock & Mark W. Watson, 1999. "Forecasting Inflation," NBER Working Papers 7023, National Bureau of Economic Research, Inc.
  21. Lutkepohl, Helmut, 1984. "Linear transformations of vector ARMA processes," Journal of Econometrics, Elsevier, vol. 26(3), pages 283-293, December.
  22. Harvey, David & Leybourne, Stephen & Newbold, Paul, 1997. "Testing the equality of prediction mean squared errors," International Journal of Forecasting, Elsevier, vol. 13(2), pages 281-291, June.
  23. Lutkepohl, Helmut, 1984. "Forecasting Contemporaneously Aggregated Vector ARMA Processes," Journal of Business & Economic Statistics, American Statistical Association, vol. 2(3), pages 201-14, July.
  24. Stock, James H & Watson, Mark W, 2002. "Macroeconomic Forecasting Using Diffusion Indexes," Journal of Business & Economic Statistics, American Statistical Association, vol. 20(2), pages 147-62, April.
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