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Dynamic Econometric Models

Density Forecasts Based on Disaggregate Data: Nowcasting Polish Inflation
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Density Forecasts Based on Disaggregate Data: Nowcasting Polish Inflation

Authors

  • Błażej Mazur Cracow University of Economics http://orcid.org/0000-0001-5096-5175

DOI:

https://doi.org/10.12775/DEM.2015.004

Keywords

prediction, model comparison, density forecasting, inflation, VAR models, shrinkage

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.

References

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Dynamic Econometric Models

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Published

2015-12-28

How to Cite

1.
MAZUR, Błażej. Density Forecasts Based on Disaggregate Data: Nowcasting Polish Inflation. Dynamic Econometric Models [online]. 28 December 2015, T. 15, s. 71−87. [accessed 1.2.2023]. DOI 10.12775/DEM.2015.004.
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Vol. 15 (2015)

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