Хугацаан цувааг прогнозлох нь: Их Британий инфляцийн жишээ

Abstract

Related to the less volatile periods in inflation since 1980s, the forecast performance of na¨ıve models have been improved. In that notion, simple univariate autoregressive model is selected as a benchmark against the proposed models which are multivariate vector autoregressive and vector error correction model specification, these expected to improve forecast accuracy in UK inflation due
to the improved set of information. Proposed models are forecasted using h step ahead out-of-sample methodology together with both iterative and direct forecast, and they are compared based on the forecast accuracy measures. I will deal with several issues related to a forecasting to make sure selecting the best model appropriately that perform well most of the times.