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Econometric Modelling for Short-Term inflation Forecasting in the Euro Area

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dc.affiliation.dptoUC3M. Departamento de Estadísticaes
dc.contributor.authorEspasa, Antoni
dc.contributor.authorAlbacete, Rebeca
dc.date.accessioned2008-11-17T11:31:32Z
dc.date.accessioned2011-06-07T12:52:59Z
dc.date.available2008-11-17T11:31:32Z
dc.date.available2011-06-07T12:52:59Z
dc.date.issued2007-08
dc.description.abstractThis 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.description.statusPublicado
dc.format.mimetypeapplication/pdf
dc.format.mimetypetext/plain
dc.identifier.bibliographicCitationJournal of Forecasting, (August 2007), v. 26, n. 5, p. 303-316
dc.identifier.doi10.1002/for.1021
dc.identifier.issn0277-6693
dc.identifier.urihttp://hdl.handle.net/10016/3136
dc.language.isoeng
dc.publisherJohn Wiley & Sons
dc.relation.publisherversionhttp://dx.doi.org/10.1002/for.1021
dc.rights.accessRightsopen access
dc.subject.ecienciaEstadística
dc.subject.othersectorial and geographical disaggregation
dc.subject.otherVEqCM
dc.subject.othercointegration
dc.subject.othercore inflation
dc.subject.othercombination of forecasts
dc.titleEconometric Modelling for Short-Term inflation Forecasting in the Euro Area
dc.typeresearch article*
dc.type.hasVersionSMUR*
dc.type.reviewPeerReviewed
dspace.entity.typePublication
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