EconPapers    
Economics at your fingertips  
 

Examination of Seasonal Volatility in HICP for Baltic Region Countries: Non-Parametric Test versus Forecasting Experiment

Łukasz Lenart

Central European Journal of Economic Modelling and Econometrics, 2017, vol. 9, issue 1, 29-67

Abstract: The aim of this paper is to examine the problem of existing seasonal volatility in total and disaggregated HICP for Baltic Region countries (Denmark, Estonia, Latvia, Finland, Germany, Lithuania, Poland and Sweden). Using nonparametric tests, we found that in the case of m-o-m prices, including fruit, vegetables, and total HICP, the homogeneity of variance during seasons is rejected. Based on these findings, we propose an exponential smoothing model with periodic variance of error terms that capture the repetitive seasonal variation (in conditional or unconditional second moments). In a pseudo-real data experiment, the short-term forecasts (nowcasting) for the considered components of inflation were determined using different specifications of considered models. The forecasting performance of the models was measured using one of the scoring rules for probabilistic forecasts called logarithmic score. We found instead that while the periodic phenomenon in variance was statistically significant, the models with a periodic phenomenon in variance of error terms do not significantly improve forecasting performance in disaggregated cases and in the case of total HICP. The simpler models with constant variance of error term have comparative forecasting (nowcasting) performance over the alternative model.

Keywords: HICP; seasonal volatility; exponential smoothing; nowcasting; predictive distribution; logscore (search for similar items in EconPapers)
JEL-codes: C11 C81 D57 C67 C68 (search for similar items in EconPapers)
Date: 2017
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed

Downloads: (external link)
http://cejeme.org/publishedarticles/2017-13-15-636252056355781250-1254.pdf (application/pdf)

Related works:
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:psc:journl:v:9:y:2017:i:1:p:29-67

Access Statistics for this article

More articles in Central European Journal of Economic Modelling and Econometrics from CEJEME
Bibliographic data for series maintained by Krzysztof Osiewalski ().

 
Page updated 2019-03-31
Handle: RePEc:psc:journl:v:9:y:2017:i:1:p:29-67