Forecasting the Estonian rate of inflation using factor models

Forecasting the Estonian rate of inflation using factor models

The paper presents forecasts of headline and core inflation in Estonia with factor models in a recursive pseudo out-of-sample framework. The factors are constructed with a principal component analysis and are then incorporated into vector autoregressive (VAR) forecasting models. The analyses show th...

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Bibliographic Details
Main Author: Nicolas Reigl
Format: Article
Language:English
Published: Taylor & Francis Group 2017-07-01
Series:Baltic Journal of Economics
Subjects:
Factor models
factor-augmented vector autoregressive models
factor analysis
principal components
inflation forecasting
Estonia
Online Access:http://dx.doi.org/10.1080/1406099X.2017.1371976

Internet

http://dx.doi.org/10.1080/1406099X.2017.1371976

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