Predicting Inflation by the Main Inflationary Factors: Performance of TVP-VAR and VAR-NN models

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F62156489%3A43110%2F15%3A43906588" target="_blank" >RIV/62156489:43110/15:43906588 - isvavai.cz</a>
Result on the web
<a href="http://mme2015.zcu.cz/downloads/MME_2015_proceedings.pdf" target="_blank" >http://mme2015.zcu.cz/downloads/MME_2015_proceedings.pdf</a>
DOI - Digital Object Identifier
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Result language
angličtina
Original language name
Predicting Inflation by the Main Inflationary Factors: Performance of TVP-VAR and VAR-NN models
Original language description
A suitable way for forecasting inflation is to do it using main inflationary factors. Such factors can be sorted to domestic and foreign sets. One-way and two- way relations between them and inflation can be considered. Therefore, vector autoregressive model (VAR) seems to be a proper tool for modelling the reality. However, basic VAR model can suffer from insufficient forecasting performance caused by its linear nature. We employ two nonlinear vector autoregressive alternatives for predicting inflation: Time-Varying Parameter VAR model with stochastic volatility and VAR Neural Network model. In both cases we select the specification with the best combination of inflationary factors. Neural Networks are flexible tool which can be easily adjusted to anautoregressive form. Resulting VAR-NN models produce accurate inflation forecasting, but they take essential information mainly from the previous inflation observations and ignore the other series. Compared to that, TVP-VAR model is a sta
Czech name
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Czech description
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Publication year
2015
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Article name in the collection
Mathematical Methods in Economics 2015: Conference Proceedings
ISBN
978-80-261-0539-8
ISSN
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e-ISSN
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Number of pages
6
Pages from-to
133-138
Publisher name
Západočeská univerzita
Place of publication
Plzeň
Event location
Cheb
Event date
Sep 9, 2015
Type of event by nationality
WRD - Celosvětová akce
UT code for WoS article
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