BazEkon - Biblioteka Główna Uniwersytetu Ekonomicznego w Krakowie

BazEkon home page

Meny główne

Krajewski Jarosław (WSB University in Torun, Poland)
Application of Dynamic Factor Models for Inflation Forecasting in Poland
Torun Business Review, 2016, nr 15(1), s. 25-33, rys., tab., bibliogr. 12 poz.
Słowa kluczowe
Inflacja, Prognozowanie, Modele ekonometryczne, Analiza danych
Inflation, Forecasting, Econometric models, Data analysis
The subject of this article is the application of dynamic factor models in modelling and forecasting inflation in Poland. It contains a brief description of the DFM tool. It also provides a glimpse at empirical forms of tools used to determine the forecasts and compares the forecasts using meters normally used for this purpose. The empirical analysis was carried out on the basis of a set of monthly data. The set consists of 70 variables from the period between January 2002 and March 2015. (original abstract)
Pełny tekst
  1. Bai, J., & Ng, S. (2002). Determining the Number of Factors in Approximate Factor Models, Econometrica 70, 191 - 221.
  2. Dickey, D. A., & Fuller W. A. (1979). Distribution of the Estimators for Autoregressive Time Series with a Unit Root, Journal of the American Statistical Association 366, 427 - 431.
  3. Diebold, F. X., & Mariano, R. S. (1995). Comparing Predictive Accuracy, Journal of Business and Economic Statistics 13.
  4. Geweke, J. (1977). The Dynamic Factor Analysis of Economic Time Series, In: D. J. Aigner, A. S. Goldberger (Eds.), Latent Variables in Socio - Economic Models (pp. 365 - 383.), North Holland, Amsterdam.
  5. Greene, W. H. (2003). Econometric Analysis, Pearson Education, New Jersey.
  6. Jungbacker, B. & Koopman, S. J. (2015). Likelihood - based dynamic factor analysis for measurement and forecasting, Econometric Journal 18.
  7. Krajewski, J. (2011). Dynamiczne modele czynnikowe w modelowaniu i prognozowaniu procesów makroekonomicznych na przykładzie inflacji i PKB w Polsce.Toruń: UMK.
  8. Marcellino, M., Stock, J. H., & Watson, M. W. (2001). Macroeconomic Forecasting in the Euro Area: Country Specific versus Area - Wide Information, Working Paper 201. Milano: Innocenzo Gasparini Institute for Economic Research.
  9. Sargent, T., & Sims, C. (1977). Business Cycle Modelling without Pretending to have too much a-priori Economic Theory, In: C. Sims (Ed.), New Methods in Business Cycle Research (45 - 110). Minneapolis: Federal Reserve Bank of Minneapolis.
  10. Sims, C. A. (1980). Macroeconomics and Reality, Econometrica 48, 1 - 48.
  11. Kotłowski, J. (2008). Forecasting Inflation with Dynamic Factor Model - the Case of Poland, Working Papers. Warszawa: SGH.
  12. Stock, J., & Watson, M. W. (1998). Diffusion Indexes. Working Paper 6702. National Bureau of Economic Research.
Cytowane przez
Udostępnij na Facebooku Udostępnij na Twitterze Udostępnij na Google+ Udostępnij na Pinterest Udostępnij na LinkedIn Wyślij znajomemu