The aim of this paper is to see whether one can improve on the naiveforecast of Euro Area inflation, where by naive forecast we mean theyear-over-year inflation rate one-year ahead will be the same as the past year.Various model selection procedures are employed on anautoregressive-moving-average model and several Phillips curvebasedmodels. We test also whether we can improve on the Euro Area inflation forecastby first forecasting the sub-components and aggregating them. We manage tosubstantially improve on the forecast by using a Phillips curve based model. Wealso find further improvement by forecasting the sub-components first andaggregating them to Euro Area inflation
| Identifer | oai:union.ndltd.org:UPSALLA1/oai:DiVA.org:kth-122449 |
| Date | January 2013 |
| Creators | Clason Diop, Noah |
| Publisher | KTH, Matematisk statistik |
| Source Sets | DiVA Archive at Upsalla University |
| Language | English |
| Detected Language | English |
| Type | Student thesis, info:eu-repo/semantics/bachelorThesis, text |
| Format | application/pdf |
| Rights | info:eu-repo/semantics/openAccess |
| Relation | TRITA-MAT-E ; 2013:24 |
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