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Improving The Inflation Rate Forecasts Of Romanian Experts Using A Fixed-Effects Models Approach

Author

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  • Mihaela SIMIONESCU

    (PhD Senior Researcher, Institute for Economic Forecasting of the Romanian Academy, 050711, Bucharest - Romania, Casa Academiei, Calea 13 Septembrie nr.13, district 5)

Abstract

This article proposes an empirical econometric approach to improve the degree of accuracy for predictions made by Romanian experts in forecasting. Several fixed-effects models are constructed using the inflation and unemployment rate actual values and the forecasts provided by the European Commission, the National Commission for Prognosis and Dobrescu’s model over 2001-2014. The predictions based on these fixed-effects models did not improve the forecasters’ accuracy, but combined predictions of these models and naive forecasts brought a statistically significant improvement for projections made by Romanian forecasters on the horizon 2011-2013. This assumption was proved by common accuracy measures and Diebold-Mariano test.

Suggested Citation

  • Mihaela SIMIONESCU, 2014. "Improving The Inflation Rate Forecasts Of Romanian Experts Using A Fixed-Effects Models Approach," Review of Economic and Business Studies, Alexandru Ioan Cuza University, Faculty of Economics and Business Administration, issue 13, pages 87-102, June.
    • Handle: RePEc:aic:revebs:y:2014:i:13:simionescum
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    More about this item

    Keywords

    accuracy; forecasts; fixed-effects model; random walk; forecast error;
    All these keywords.

    JEL classification:

    • E21 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment - - - Consumption; Saving; Wealth
    • E27 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment - - - Forecasting and Simulation: Models and Applications
    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods

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