Description

• Title:
  Density Forecasts Based on Disaggregate Data: Nowcasting Polish Inflation
• Creator:
  Mazur, Błażej
• Description:
  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.
• Object availability:
  free access
• Rights:
  Prawa autorskie (c) 2016 Dynamic Econometric Models
• Date:
  2015.12.28
• Type:
  info:eu-repo/semantics/article;
  info:eu-repo/semantics/publishedVersion
• Language:
  English
• Source:
  Dynamic Econometric Models; Vol. 15 (2015); 71−87;
  Dynamic Econometric Models; Tom 15 (2015); 71−87;
  2450-7067;
  1234-3862
• Format:
  application/pdf
• Publisher:
  Nicolaus Copernicus University
• Relation: https://apcz.umk.pl/DEM/article/view/DEM.2015.004/8947
• Subject:
  prediction;
  model comparison;
  density forecasting;
  inflation;
  VAR models;
  shrinkage
• Identifier: https://apcz.umk.pl/DEM/article/view/DEM.2015.004
• Data provider:
  Akademicka Platforma Czasopism
• Can I use it?:
  seek permission
• Type:
  text