EMPIRICAL PRICE SURVEY IN BIH 2006 – 2010 АND INFLATION FORCASTING FOR 2011 – USE OF ARIMA MODEL
The survey of price trends duringthe period from 2005 to 2010 was aimed atestimating the best quality of ARIMA models usedto forecast consumer price index and/or inflation inBiH in 2011. A very process to create and selectARIMA models was based on the recommendedBox-Jenkins procedure involving data...
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| Format: | Article |
| Language: | English |
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Faculty of Economics Pale University of East Sarajevo
2012-01-01
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| Series: | Zbornik Radova Ekonomskog Fakulteta u Istočnom Sarajevu |
| Subjects: | |
| Online Access: | http://www.ekofis.org/images/dokumenti/Aktivnosti/zr2012/91-104%20-%20Nebojsa%20Nastic.pdf |
| _version_ | 1797723521645805568 |
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| author | Nebojša Nastić |
| author_facet | Nebojša Nastić |
| author_sort | Nebojša Nastić |
| collection | DOAJ |
| description | The survey of price trends duringthe period from 2005 to 2010 was aimed atestimating the best quality of ARIMA models usedto forecast consumer price index and/or inflation inBiH in 2011. A very process to create and selectARIMA models was based on the recommendedBox-Jenkins procedure involving data collection forthe selected time series, identification of itsstationary level, creation of model, diagnosticchecking, model stationary checking (simulation ofreal series) and finally inflation forecasting basedon the selected models. This is an iterative process,i.e. it is repeated over and over again to obtain aset of desired and efficient models used for inflationforecasting. Out of 64 tested models following theAkaike Info Criterion (AIC), Schwarz Criterion(SIC), Root Mean Squared Error (RMSE), MeanAbsolute Error (MAE) and Theil InequalityCoefficient (TIC) criteria, three ARIMA modelsidentified to fit best the forecasting procedure wereselected. Their efficiency and predictive power willbe tested during the course of 2011. |
| first_indexed | 2024-03-12T10:02:57Z |
| format | Article |
| id | doaj.art-fc4d7af5f97c43cf8ca85893f54464ad |
| institution | Directory Open Access Journal |
| issn | 1840-3557 |
| language | English |
| last_indexed | 2024-03-12T10:02:57Z |
| publishDate | 2012-01-01 |
| publisher | Faculty of Economics Pale University of East Sarajevo |
| record_format | Article |
| series | Zbornik Radova Ekonomskog Fakulteta u Istočnom Sarajevu |
| spelling | doaj.art-fc4d7af5f97c43cf8ca85893f54464ad2023-09-02T11:31:08ZengFaculty of Economics Pale University of East SarajevoZbornik Radova Ekonomskog Fakulteta u Istočnom Sarajevu1840-35572012-01-01691104EMPIRICAL PRICE SURVEY IN BIH 2006 – 2010 АND INFLATION FORCASTING FOR 2011 – USE OF ARIMA MODELNebojša NastićThe survey of price trends duringthe period from 2005 to 2010 was aimed atestimating the best quality of ARIMA models usedto forecast consumer price index and/or inflation inBiH in 2011. A very process to create and selectARIMA models was based on the recommendedBox-Jenkins procedure involving data collection forthe selected time series, identification of itsstationary level, creation of model, diagnosticchecking, model stationary checking (simulation ofreal series) and finally inflation forecasting basedon the selected models. This is an iterative process,i.e. it is repeated over and over again to obtain aset of desired and efficient models used for inflationforecasting. Out of 64 tested models following theAkaike Info Criterion (AIC), Schwarz Criterion(SIC), Root Mean Squared Error (RMSE), MeanAbsolute Error (MAE) and Theil InequalityCoefficient (TIC) criteria, three ARIMA modelsidentified to fit best the forecasting procedure wereselected. Their efficiency and predictive power willbe tested during the course of 2011.http://www.ekofis.org/images/dokumenti/Aktivnosti/zr2012/91-104%20-%20Nebojsa%20Nastic.pdfInflationCPIBH-Consumer Price Index BHARIMA modelBox-Jenkins procedure |
| spellingShingle | Nebojša Nastić EMPIRICAL PRICE SURVEY IN BIH 2006 – 2010 АND INFLATION FORCASTING FOR 2011 – USE OF ARIMA MODEL Zbornik Radova Ekonomskog Fakulteta u Istočnom Sarajevu Inflation CPIBH-Consumer Price Index BH ARIMA model Box-Jenkins procedure |
| title | EMPIRICAL PRICE SURVEY IN BIH 2006 – 2010 АND INFLATION FORCASTING FOR 2011 – USE OF ARIMA MODEL |
| title_full | EMPIRICAL PRICE SURVEY IN BIH 2006 – 2010 АND INFLATION FORCASTING FOR 2011 – USE OF ARIMA MODEL |
| title_fullStr | EMPIRICAL PRICE SURVEY IN BIH 2006 – 2010 АND INFLATION FORCASTING FOR 2011 – USE OF ARIMA MODEL |
| title_full_unstemmed | EMPIRICAL PRICE SURVEY IN BIH 2006 – 2010 АND INFLATION FORCASTING FOR 2011 – USE OF ARIMA MODEL |
| title_short | EMPIRICAL PRICE SURVEY IN BIH 2006 – 2010 АND INFLATION FORCASTING FOR 2011 – USE OF ARIMA MODEL |
| title_sort | empirical price survey in bih 2006 2010 аnd inflation forcasting for 2011 use of arima model |
| topic | Inflation CPIBH-Consumer Price Index BH ARIMA model Box-Jenkins procedure |
| url | http://www.ekofis.org/images/dokumenti/Aktivnosti/zr2012/91-104%20-%20Nebojsa%20Nastic.pdf |
| work_keys_str_mv | AT nebojsanastic empiricalpricesurveyinbih20062010andinflationforcastingfor2011useofarimamodel |