Opis

• Tytuł:
  Density Forecasts Based on Disaggregate Data: Nowcasting Polish Inflation
• Twórca:
  Mazur, Błażej
• Opis:
  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.
• Dostępność obiektu:
  Dostęp otwarty
• Prawa:
  Prawa autorskie (c) 2016 Dynamic Econometric Models
• Data:
  2015.12.28
• Typ:
  info:eu-repo/semantics/article;
  info:eu-repo/semantics/publishedVersion
• Język:
  angielski
• Źródło:
  Dynamic Econometric Models; Vol. 15 (2015); 71−87;
  Dynamic Econometric Models; Tom 15 (2015); 71−87;
  2450-7067;
  1234-3862
• Format:
  application/pdf
• Wydawca:
  Nicolaus Copernicus University
• Relacja: https://apcz.umk.pl/DEM/article/view/DEM.2015.004/8947
• Temat i słowa kluczowe:
  prediction;
  model comparison;
  density forecasting;
  inflation;
  VAR models;
  shrinkage
• Identyfikator: https://apcz.umk.pl/DEM/article/view/DEM.2015.004
• Dostawca danych:
  Akademicka Platforma Czasopism
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