RT Journal Article
T1 Econometric Modelling for Short-Term inflation Forecasting in the Euro Area
A1 Espasa, Antoni
A1 Albacete, Rebeca
AB 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.
PB John Wiley & Sons
SN 0277-6693
YR 2007
FD 2007-08
LK http://hdl.handle.net/10016/3136
UL http://hdl.handle.net/10016/3136
LA eng
DS e-Archivo
RD 28 abr. 2024