Density Forecasts Based on Disaggregate Data: Nowcasting Polish Inflation
Journal Title: Dynamic Econometric Models - Year 2015, Vol 15, Issue
Abstract
The paper investigates gains in performance of density forecasts from models using disaggregate data when forecasting aggregate series. The problem is considered within a restricted VAR framework with alternative sets of exclusion restrictions. Empirical analysis of Polish CPI m-o-m inflation rate (using its 14 sub-categories for disaggregate modelling) is presented. Exclusion restrictions are shown to improve density forecasting performance (as evaluated using log-score and CRPS criteria) relatively to aggregate and also disaggregate unrestricted models.
Authors and Affiliations
Błażej Mazur
Keywords
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- EP ID EP197075
- DOI 10.12775/DEM.2015.004
- Views 96
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