The Construction and Assessment of Forecast Intervals for Monthly Inflation Rate1

Authors

  • Mihaela Simionescu Institute for Economic Forecasting Romanian Academy
  • Adrian Cantemir Călin Institute for Economic Forecasting Romanian Academy
  • Oana Cristina Popovici Institute for Economic Forecasting Romanian Academy

Abstract

In this research forecast intervals were built for monthly inflation rate during 2014 using an autoregressive model and the historical errors technique. For the first 7 months of 2014 all the actual values of the inflation rate are included in the forecast intervals. However, the historical errors method provided better results, because the intervals’ length is smaller. Therefore, there is a high probability for this method to provide the best prediction intervals for the next 5 months of 2014.

References

Bachmann, R., Elstner, S, Sims, E.R. (2010). Uncertainty and Economic Activity: Evidence from Business Survey Data, NBER Working Papers, Vol. 16143, National Bureau of Economic Research, Inc., p. 45-76

Bloom, N., Davis S. J. (2012). Has Economic Policy Uncertainty Hampered the Recovery? Working Papers 2012-003, Becker Friedman Institute for Research in Economics

Christoffersen, P.F. (1998). Evaluating Interval Forecasts. International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, Vol. 39(4), p. 841-62, November

Ericsson, N. (2001). Forecast Uncertainty in Economic Modeling, Board of Governors of the Federal Reserve Discussion Paper No. 697

Giordani, P., Söderlind, P. (2003). Inflation forecast uncertainty, European Economic Review, Vol. 47(6), p. 1037-1059 [6] Novy, D. (2013). International trade without CES: Estimating translog gravity. Journal of International Economics, Elsevier, Vol. 89(2): p. 271-282 [7] Stuart, S., Ord, J.K., Arnold, S.F. (1999). Kendall's Advanced Theory of Statistics, Vol. 1: Distribution Theory (6th ed.).

Wallis, K. F. (2008). Forecast uncertainty, its representation and evaluation. World Scientific Publishing Co. Pte. Ltd., Econometric Forecasting and high-frequency data analysis, p. 10-453.

Downloads

Published

2014-11-24