Forecasting the Romanian inflation rate: An Autoregressive Integrated Moving-Average (ARIMA) approach
The primary objectives of this paper are to empirically create an univariate Autoregressive Integrated Moving-Average (model) using Box-Jenkins methodology to forecast Romanian inflation and inspect the prediction performance of the estimated model between October 2021 and October 2022. This study u...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
General Association of Economists from Romania
2023-03-01
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| Series: | Theoretical and Applied Economics |
| Subjects: | |
| Online Access: |
http://store.ectap.ro/articole/1641.pdf
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| Summary: | The primary objectives of this paper are to empirically create an univariate
Autoregressive Integrated Moving-Average (model) using Box-Jenkins methodology to forecast
Romanian inflation and inspect the prediction performance of the estimated model between October
2021 and October 2022. This study uses Ordinary Least Squares (OLS) technique for estimation
purposes. On the foundation of different selection assessment and diagnostic criteria, the best model
is selected to predict inflation in Romania in the short-run. We find that ARIMA (7, 1, 1) model is a
suitable one under model identification, parameters estimation, diagnostic checking, and inflation
prediction. In-sample forecasting is performed and the estimated ARIMA model reasonably tracks
the actual inflation in the sample period. |
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| ISSN: | 1841-8678 1844-0029 |