A Comparison of the Performances of the Direct and Iterated Methods in Real Time Forecasting of Inflation in Iran
Inflation rate is one of the key macroeconomic variables that policymaking institutions and central banks in particular, need to forecast accurately for several periods ahead in order to make proper policies. Direct and iterated methods are two common techniques which are suggested in the literature...
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| Format: | Article |
| Language: | fas |
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Allameh Tabataba'i University Press
2015-09-01
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| Series: | فصلنامه پژوهش‌های اقتصادی ایران |
| Subjects: | |
| Online Access: | https://ijer.atu.ac.ir/article_4606_a8ea3249a74ef89f3ba5901ed077b394.pdf |
| _version_ | 1797369348326686720 |
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| author | Seyed Mahdi Barakchian Hamed Atrianfar |
| author_facet | Seyed Mahdi Barakchian Hamed Atrianfar |
| author_sort | Seyed Mahdi Barakchian |
| collection | DOAJ |
| description | Inflation rate is one of the key macroeconomic variables that policymaking institutions and central banks in particular, need to forecast accurately for several periods ahead in order to make proper policies. Direct and iterated methods are two common techniques which are suggested in the literature for multi-period forecasting. In this paper, using a wide range of quarterly economic variables we compare the performance of these two techniques in real time forecasting of inflation in Iran. The results show that as the forecast horizon increases, iterated method outperforms direct method. For the information criteria which select shorter lags (e.g. Schwarz criterion), direct method and iterated method performs better in short forecast horizons (1 and 2 periods ahead) and long forecast horizons (3 and 4 periods ahead), respectively, while for the information criteria which select longer lags (e.g. Akaike criterion), iterated method generally performs better, irrespective of the forecast horizon. |
| first_indexed | 2024-03-08T17:46:36Z |
| format | Article |
| id | doaj.art-efbce0e122b04ff9a406004d5ae9171d |
| institution | Directory Open Access Journal |
| issn | 1726-0728 2476-6445 |
| language | fas |
| last_indexed | 2024-03-08T17:46:36Z |
| publishDate | 2015-09-01 |
| publisher | Allameh Tabataba'i University Press |
| record_format | Article |
| series | فصلنامه پژوهش‌های اقتصادی ایران |
| spelling | doaj.art-efbce0e122b04ff9a406004d5ae9171d2024-01-02T10:29:15ZfasAllameh Tabataba'i University Pressفصلنامه پژوهش‌های اقتصادی ایران1726-07282476-64452015-09-012064558710.22054/ijer.2015.46064606A Comparison of the Performances of the Direct and Iterated Methods in Real Time Forecasting of Inflation in IranSeyed Mahdi Barakchian0Hamed Atrianfar1استادیار دانشکده مدیریت و اقتصاد دانشگاه صنعتی شریف، گروه اقتصاد-نویسنده مسئولکارشناس ارشد پژوهشکده پولی و بانکیInflation rate is one of the key macroeconomic variables that policymaking institutions and central banks in particular, need to forecast accurately for several periods ahead in order to make proper policies. Direct and iterated methods are two common techniques which are suggested in the literature for multi-period forecasting. In this paper, using a wide range of quarterly economic variables we compare the performance of these two techniques in real time forecasting of inflation in Iran. The results show that as the forecast horizon increases, iterated method outperforms direct method. For the information criteria which select shorter lags (e.g. Schwarz criterion), direct method and iterated method performs better in short forecast horizons (1 and 2 periods ahead) and long forecast horizons (3 and 4 periods ahead), respectively, while for the information criteria which select longer lags (e.g. Akaike criterion), iterated method generally performs better, irrespective of the forecast horizon.https://ijer.atu.ac.ir/article_4606_a8ea3249a74ef89f3ba5901ed077b394.pdfmulti-period forecastingforecast accuracyreal time forecastinginflation rate |
| spellingShingle | Seyed Mahdi Barakchian Hamed Atrianfar A Comparison of the Performances of the Direct and Iterated Methods in Real Time Forecasting of Inflation in Iran فصلنامه پژوهش‌های اقتصادی ایران multi-period forecasting forecast accuracy real time forecasting inflation rate |
| title | A Comparison of the Performances of the Direct and Iterated Methods in Real Time Forecasting of Inflation in Iran |
| title_full | A Comparison of the Performances of the Direct and Iterated Methods in Real Time Forecasting of Inflation in Iran |
| title_fullStr | A Comparison of the Performances of the Direct and Iterated Methods in Real Time Forecasting of Inflation in Iran |
| title_full_unstemmed | A Comparison of the Performances of the Direct and Iterated Methods in Real Time Forecasting of Inflation in Iran |
| title_short | A Comparison of the Performances of the Direct and Iterated Methods in Real Time Forecasting of Inflation in Iran |
| title_sort | comparison of the performances of the direct and iterated methods in real time forecasting of inflation in iran |
| topic | multi-period forecasting forecast accuracy real time forecasting inflation rate |
| url | https://ijer.atu.ac.ir/article_4606_a8ea3249a74ef89f3ba5901ed077b394.pdf |
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