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Forecasting measures of inflation for the Estonian economy

Agostino Consolo ()

No 2006-03, Bank of Estonia Working Papers from Bank of Estonia

Abstract: The aim of this paper is to forecast some of the most important measures of inflation of the Estonian economy by making use of linear and non-linear models. Results from comparing classes of optimal models are similar to those in the forecasting literature. In particular, there are gains from using more sophisticated methods such as factor analysis and time-varying parameters methods. Model discrimination is based on evaluation criteria which are computed by a real-time dynamic estimation procedure. Moreover, forecasts uncertainty is appropriately taken into account: Fan Charts can exhaustively describe the final output for what concerns out-of-sample forecasting.

Keywords: Estonian Economy; forecasting; inflation modelling (search for similar items in EconPapers)
JEL-codes: C22 C32 C53 E31 (search for similar items in EconPapers)
Pages: 41 pages
Date: 2006-10-10, Revised 2006-11-12
New Economics Papers: this item is included in nep-cba, nep-ecm, nep-for, nep-mac and nep-mon
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