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Forecasting inflation -- An empirica...

Zhao, Peng.

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Forecasting inflation -- An empirical study on predictive power of various time-series models.

Record Type:	Electronic resources : Monograph/item
Title/Author:	Forecasting inflation -- An empirical study on predictive power of various time-series models./
Author:	Zhao, Peng.
Description:	60 p.
Notes:	Source: Masters Abstracts International, Volume: 54-06.
Contained By:	Masters Abstracts International54-06(E).
Subject:	Economics. -
Online resource:	http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=1594275
ISBN:	9781321912579

Forecasting inflation -- An empirical study on predictive power of various time-series models.
Zhao, Peng.

Forecasting inflation -- An empirical study on predictive power of various time-series models. - 60 p.

Source: Masters Abstracts International, Volume: 54-06.

Thesis (M.S.)--The University of North Carolina at Charlotte, 2015.

In this thesis, I investigate the background and causes of major inflation in recent history and empirically study forecasting of future quarterly inflation rates for three typical countries and regions: the United States, the United Kingdom, and the Eurozone. In particular, I empirically investigate the predictive power of four commonly used econometric models: the AR model, the ADL model, the ARIMA model, and the VAR model.

ISBN: 9781321912579Subjects--Topical Terms:

517137
Economics.

Forecasting inflation -- An empirical study on predictive power of various time-series models.
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100 1 $a Zhao, Peng. $3 1951064
245 1 0 $a Forecasting inflation -- An empirical study on predictive power of various time-series models.
300 $a 60 p.
500 $a Source: Masters Abstracts International, Volume: 54-06.
500 $a Adviser: Craig A. Depken, II.
502 $a Thesis (M.S.)--The University of North Carolina at Charlotte, 2015.
520 $a In this thesis, I investigate the background and causes of major inflation in recent history and empirically study forecasting of future quarterly inflation rates for three typical countries and regions: the United States, the United Kingdom, and the Eurozone. In particular, I empirically investigate the predictive power of four commonly used econometric models: the AR model, the ADL model, the ARIMA model, and the VAR model.
520 $a I compare each model's forecasting accuracy by calculating the corresponding RMSFE (Root Mean Squared Forecast Error) of pseudo-out-of-sample forecasting for each country or region. The model that exhibits the smallest RMSFE is my preferred model.
520 $a The results suggest that, for each country or region in my dataset, the ARIMA model significantly outperforms the other three models. By determining ARIMA as the most preferable model, I use the ARIMA model to forecast the future (two-year ahead) quarterly inflation rate.
590 $a School code: 0694.
650 4 $a Economics. $3 517137
650 4 $a Economic theory. $3 1556984
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690 $a 0511
710 2 $a The University of North Carolina at Charlotte. $b Economics. $3 3186009
773 0 $t Masters Abstracts International $g 54-06(E).
790 $a 0694
791 $a M.S.
792 $a 2015
793 $a English
856 4 0 $u http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=1594275