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...
Main Author: | Nicolas Reigl |
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Format: | Article |
Language: | English |
Published: |
Taylor & Francis Group
2017-07-01
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Series: | Baltic Journal of Economics |
Subjects: | |
Online Access: | http://dx.doi.org/10.1080/1406099X.2017.1371976 |
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