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Econometric Modelling for Short-Term inflation Forecasting in the Euro Area
dc.contributor.author | Espasa, Antoni | |
dc.contributor.author | Albacete, Rebeca | |
dc.date.accessioned | 2014-02-20T09:22:42Z | |
dc.date.available | 2014-02-20T09:22:42Z | |
dc.date.issued | 2007-08 | |
dc.identifier | http://hdl.handle.net/10016/3136 | |
dc.identifier.citation | Journal of Forecasting, (August 2007), v. 26, n. 5, p. 303-316 | |
dc.identifier.issn | 0277-6693 | |
dc.identifier.uri | http://hdl.handle.net/10234/84275 | |
dc.description.abstract | This paper examines the problem of forecasting macro-variables which are observed monthly (or quarterly) and result from geographical and sectorial aggregation. The aim is to formulate a methodology whereby all relevant information gathered in this context could provide more accurate forecasts, be frequently updated, and include a disaggregated explanation as useful information for decision-making. The appropriate treatment of the resulting disaggregated data set requires vector modelling, which captures the long-run restrictions between the different time series and the short-term correlations existing between their stationary transformations. Frequently, due to a lack of degrees of freedom, the vector model must be restricted to a block-diagonal vector model. This methodology is applied in this paper to inflation in the euro area, and shows that disaggregated models with cointegration restrictions improve accuracy in forecasting aggregate macro-variables. Copyright © 2007 John Wiley & Sons, Ltd. | |
dc.format.mimetype | application/pdf | |
dc.format.mimetype | text/plain | |
dc.language.iso | eng | |
dc.publisher | John Wiley & Sons | |
dc.rights.uri | http://rightsstatements.org/vocab/CNE/1.0/ | * |
dc.subject | Estadística | |
dc.subject.other | Sectorial and geographical disaggregation | |
dc.subject.other | VEqCM | |
dc.subject.other | Cointegration | |
dc.subject.other | Core inflation | |
dc.subject.other | Combination of forecasts | |
dc.title | Econometric Modelling for Short-Term inflation Forecasting in the Euro Area | |
dc.type | info:eu-repo/semantics/article | |
dc.identifier.doi | http://dx.doi.org/10.1002/for.1021 | |
dc.rights.accessRights | info:eu-repo/semantics/openAccess | |
dc.relation.publisherVersion | http://dx.doi.org/10.1002/for.1021 |
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