EconPapers    
Economics at your fingertips  
 

Short-term inflation forecasting models for Turkey and a forecast combination analysis

Fethi Ogunc (), Kurmaş Akdoğan, Selen Başer Andıç, Meltem Chadwick, Dilara Ertuğ, Timur Hülagü, Sevim Kösem, Utku Ozmen () and Necati Tekatli

Economic Modelling, 2013, vol. 33, issue C, 312-325

Abstract: In this paper, we produce short term forecasts for the inflation in Turkey, using a large number of econometric models. In particular, we employ univariate models, decomposition based approaches (both in frequency and time domain), a Phillips curve motivated time varying parameter model, a suite of VAR and Bayesian VAR models and dynamic factor models. Our findings suggest that the models which incorporate more economic information outperform the benchmark random walk, and the relative performance of forecasts are on average 30% better for the first two quarters ahead. We further combine our forecasts by means of several weighting schemes. Results reveal that, the forecast combination leads to a reduction in forecast error compared to most of the models, although some of the individual models perform alike in certain horizons.

Keywords: Inflation; Short-term forecasting; Forecast combination (search for similar items in EconPapers)
JEL-codes: C52 C53 E37 (search for similar items in EconPapers)
Date: 2013
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (18) Track citations by RSS feed

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0264999313001314
Full text for ScienceDirect subscribers only

Related works:
Working Paper: Short-Term Inflation Forecasting Models For Turkey and a Forecast Combination Analysis (2012) Downloads
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:ecmode:v:33:y:2013:i:c:p:312-325

DOI: 10.1016/j.econmod.2013.04.001

Access Statistics for this article

Economic Modelling is currently edited by S. Hall and P. Pauly

More articles in Economic Modelling from Elsevier
Bibliographic data for series maintained by Catherine Liu ().

 
Page updated 2021-07-09
Handle: RePEc:eee:ecmode:v:33:y:2013:i:c:p:312-325