[Home ] [Archive]   [ فارسی ]  
:: year 8, Issue 24 (Summer 2015) ::
JMBR 2015, 8(24): 305-330 Back to browse issues page
Evaluating the Performance of Autoregressive Model in Forecasting Iranian Inflation
Hooman Karami , Mehdi Barakchian
Abstract:   (1740 Views)

In this paper the performance of iterated and direct autoregressive models in forecasting Iranian inflation has been evaluated in horizons 1, 2, 3 and 4 steps ahead. The results show that the forecast accuracy of direct method compared to iterated method depends on the information criteria. In forecasting literature, lag selection is done as cumulative. This paper also investigate whether the use of all possible combination of lags, rather than using cumulative lags can lead to improve forecast accuracy. Our findings show that the optimal combination of lags changes depending on forecast horizon, so that the best combination of lags in the horizon 1 and 2 is the first lag, and in the horizon 3 and 4, are the first and fourth lags. Also using IC method to reduce systematic error does not improve forecast accuracy.

Full-Text [PDF 909 kb]   (1128 Downloads)    
Type of Study: Empirical Study |
Received: 2016/08/29 | Accepted: 2016/08/29 | Published: 2016/08/29
Add your comments about this article
Your username or Email:


XML   Persian Abstract   Print

Rights and permissions
Creative Commons License This work is licensed under a Creative Commons Attribution-NonCommercial 4.0 International License.
year 8, Issue 24 (Summer 2015) Back to browse issues page
فصلنامه پژوهش‌های پولی-بانکی Journal of Monetary & Banking Research
Persian site map - English site map - Created in 0.03 seconds with 28 queries by YEKTAWEB 4341