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Density forecasts based on disaggregate data: nowcasting Polish inflation

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  • Blazej Mazur

    (Cracow University of Economics)

Abstract

The paper investigates gains in performance of density forecasts from models using disaggregate data when forecasting aggregate series. The problem is considered within a restricted VAR framework with alternative sets of exclusion restrictions. Empirical analysis of Polish CPI m-o-m inflation rate (using its 14 sub-categories for disaggregate modelling) is presented. Exclusion restrictions are shown to improve density forecasting performance (as evaluated using log-score and CRPS criteria) relatively to aggregate and also disaggregate unrestricted models.

Suggested Citation

  • Blazej Mazur, 2015. "Density forecasts based on disaggregate data: nowcasting Polish inflation," Dynamic Econometric Models, Uniwersytet Mikolaja Kopernika, vol. 15, pages 71-87.
    • Handle: RePEc:cpn:umkdem:v:15:y:2015:p:71-87
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    References listed on IDEAS

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    Cited by:

    1. Łukasz Lenart, 2017. "Examination of Seasonal Volatility in HICP for Baltic Region Countries: Non-Parametric Test versus Forecasting Experiment," Central European Journal of Economic Modelling and Econometrics, Central European Journal of Economic Modelling and Econometrics, vol. 9(1), pages 29-67, March.
    2. Kenneth Sæterhagen Paulsen & Tuva Marie Fastbø & Tobias Ingebrigtsen, 2022. "Aggregate density forecast of models using disaggregate data - A copula approach," Working Paper 2022/5, Norges Bank.
    3. Marcus P. A. Cobb, 2020. "Aggregate density forecasting from disaggregate components using Bayesian VARs," Empirical Economics, Springer, vol. 58(1), pages 287-312, January.

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    More about this item

    Keywords

    prediction; model comparison; density forecasting; inflation; VAR models; shrinkage;
    All these keywords.

    JEL classification:

    • E31 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Price Level; Inflation; Deflation
    • E37 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Forecasting and Simulation: Models and Applications
    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models

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