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Inflation forecasting using dynamic factor analysis. SAS 4GL programming approach

Author

Listed:
  • Adam Jêdrzejczyk

    (Warsaw School of Economics)

Abstract

The 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.

Suggested Citation

  • Adam Jêdrzejczyk, 2012. "Inflation forecasting using dynamic factor analysis. SAS 4GL programming approach," Working Papers 63, Department of Applied Econometrics, Warsaw School of Economics.
    • Handle: RePEc:wse:wpaper:63
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    References listed on IDEAS

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    More about this item

    Keywords

    statistical programming; forecasting; factor models; inflation;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • 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

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