Tid: 12 mars 2013 kl 10.15-11.00.Seminarierummet 3424, Institutionen för matematik, KTH, Lindstedts väg 25, plan 4. Karta!
Föredragshållare: Noah Clason
Titel: Forecasting Euro Area Inflation By Aggregating Sub-components (Examensarbete - Master thesis)
Abstract The aim of this paper is to see whether one can improve on the naive forecast of Euro Area inflation, where by naive forecast we mean the year-over-year inflation rate one-year ahead will be the same as the past year. Various model selection procedures are employed on an autoregressive-moving-average model and several Phillips curve based models. We test also whether we can improve on the Euro Area inflation forecast by first forecasting the sub-components and aggregating them. We manage to substantially improve on the forecast by using a Phillips curve based model. We also find further improvement by forecasting the sub-components first and aggregating them to Euro Area inflation.
|Sidansvarig: Filip Lindskog