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
Related Articles
- EP ID EP197075
- DOI 10.12775/DEM.2015.004
- Views 73
- Downloads 0
Evaluating the Accuracy of Time-varying Beta. The Evidence from Poland
This paper empirically investigates various approaches to model time-varying systematic risk on the Polish capital market. A plenty of methods is examined in the developed markets and the Kalman filter approach is usuall...
Business Cycles Variability in Polish Regions in the Years 2000–2016
The aim of this article is to study the morphology of regional business cycle in Poland. To do this, such parameters were calculated, like: cycle length, coherence ratio, standard deviation ratio, mean delay, cross-corre...
The Model of French Development Assistance – Who Gets the Help?
Development cooperation is an important element of international relations because it influences the power balance between major players on the world markets and in the political debate. The aim of the article was to ana...
The Sign RCA Models: Comparing Predictive Accuracy of VaR Measures
Evaluating Value at Risk (VaR) methods of predictive accuracy in an objective and effective framework is important for both efficient capital allocation and loss prediction. From this reasons, finding an adequate method...
Analysis of Linkages between Central and Eastern European apital Markets
The aim of the research is analysis of short- and long-term international relations between stock exchanges in Central and Eastern Europe. The analysis is provided in 3 stages. In the first step the order of the variable...