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Forecasting Euro Area Inflation By Aggregating Sub-components
KTH, School of Engineering Sciences (SCI), Mathematics (Dept.), Mathematical Statistics.
2013 (English)Independent thesis Advanced level (degree of Master (Two Years)), 20 credits / 30 HE creditsStudent thesis
Abstract [en]

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

Place, publisher, year, edition, pages
2013. , 65 p.
Series
TRITA-MAT-E, 2013:24
National Category
Probability Theory and Statistics
Identifiers
URN: urn:nbn:se:kth:diva-122449OAI: oai:DiVA.org:kth-122449DiVA: diva2:623725
External cooperation
Brummer & Partners, Nektar Assest Management AB
Subject / course
Mathematical Statistics
Educational program
Master of Science - Mathematics
Uppsok
Physics, Chemistry, Mathematics
Supervisors
Examiners
Available from: 2013-05-28 Created: 2013-05-21 Last updated: 2013-05-28Bibliographically approved

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CiteExportLink to record
Permanent link

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Citation style
  • apa
  • ieee
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  • vancouver
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
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  • asciidoc
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