Forecasting Consumer Price Index Inflation in India: Vector Error Correction Mechanism Vs. Dynamic Factor Model Approach for Non-Stationary Time Series
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Note: Working Paper 323, 2020
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Cited by:
- Patnaik, Ila & Pandey, Radhika, 2020. "Four years of the inflation targeting framework," Working Papers 20/325, National Institute of Public Finance and Policy.
- Badola, Shivani & Mukherjee, Sacchidananda, 2020. "Factors Influencing Access to Formal Credit of Unincorporated Enterprises in India: Analysis of NSSO's Unit-level Data," Working Papers 20/326, National Institute of Public Finance and Policy.
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More about this item
Keywords
CPI Inflation ; India ; Forecasting ; Vector Error Correction Model ; Dynamic Factor Model;All these keywords.
JEL classification:
- 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
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ETS-2020-11-09 (Econometric Time Series)
- NEP-FOR-2020-11-09 (Forecasting)
- NEP-MON-2020-11-09 (Monetary Economics)
- NEP-ORE-2020-11-09 (Operations Research)
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