Forecasting annual inflation with power transformations : the case of inflation targeting countries

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Borradores de Economía; No. 756
Date published
2013-02-06
Date of last update
2013-02-06
Author
Zárate-Solano, Hector Manuel
Rengifo-Gómez, Angélica
Document language
spa
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Las opiniones contenidas en el presente documento son responsabilidad exclusiva de los autores y no comprometen al Banco de la República ni a su Junta Directiva.
Abstract
This paper investigates whether transforming the Consumer Price Index with a class of power transformations lead to an improvement of inflation forecasting accuracy. We use one of the prototypical models to forecast short run inflation which is known as t
JEL Codes
C22 - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion processesC52 - Model Evaluation, Validation, and Selection
Keywords
ARIMA models ; Power transformations ; Seasonality ; Bayesian analysis ;
URI
https://repositorio.banrep.gov.co/handle/20.500.12134/5896
https://hdl.handle.net/20.500.12134/5896
https://doi.org/10.32468/be.756
https://ideas.repec.org/p/bdr/borrec/756.html
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This work is licensed under a Creative Commons Reconocimiento-NoComercial 4.0.This document has been deposited by the author (s) under the following certificate of deposit