Inflation forecasting using dynamic factor analysis. SAS 4GL programming approach

Adam Jêdrzejczyk
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Adam Jêdrzejczyk: Warsaw School of Economics

No 63, Working Papers from Department of Applied Econometrics, Warsaw School of Economics

Abstract: The purpose of this article is to introduce an original macro code written in SAS 4GL. This macro is used to automate the process of forecasting with dynamic factor analysis. Automation of the process helps to save significant amounts of time and effort for the researcher. It also enables to compare different model specifications directly and, hence, to make conclusions that would be imperceptible without such automation, which is shown on the empirical study example.

Keywords: statistical programming; forecasting; factor models; inflation (search for similar items in EconPapers)
JEL-codes: C22 C53 C80 E31 (search for similar items in EconPapers)
Pages: 29
Date: 2012-09-16
New Economics Papers: this item is included in nep-for and nep-mon
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