Endre søk
RefereraExporteraLink to record
Permanent link

Direct link
Referera
Referensformat
  • apa
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • Annet format
Fler format
Språk
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Annet språk
Fler språk
Utmatningsformat
  • html
  • text
  • asciidoc
  • rtf
Do Riksbanken produce unbiased forecast of the inflation rate?: and can it be improved?
Stockholms universitet, Samhällsvetenskapliga fakulteten, Nationalekonomiska institutionen.
2011 (engelsk)Independent thesis Advanced level (degree of Master (Two Years)), 20 poäng / 30 hpOppgave
Abstract [en]

The focus of this paper is to evaluate if forecast produced by the Central Bank of Sweden (Riksbanken) for the 12 month change in the consumer price index is unbiased? Results shows that for shorter horizons (h < 12) the mean forecast error is unbiased but for longer horizons its negatively biased when inference is done by Maximum entropy bootstrap technique. Can the unbiasedness be improved by strict ap- pliance to econometric methodology? Forecasting with a linear univariate model (seasonal ARIMA) and a multivariate model Vector Error Correction model (VECM) shows that when controlling for the presence of structural breaks VECM outperforms both prediction produced Riksbanken and ARIMA. However Riksbanken had the best precision in their forecast, estimated as MSFE

sted, utgiver, år, opplag, sider
2011. , s. 59
Emneord [en]
Inflation rate, Vector Error Correction Model, Structural breaks, Rolling-event forecast, Maximum Entropy bootstrapping, Autoregressive Integrated Moving Average
HSV kategori
Identifikatorer
URN: urn:nbn:se:su:diva-58708OAI: oai:DiVA.org:su-58708DiVA, id: diva2:421516
Presentation
(engelsk)
Uppsök
Social and Behavioural Science, Law
Veileder
Examiner
Tilgjengelig fra: 2011-08-25 Laget: 2011-06-08 Sist oppdatert: 2013-02-08bibliografisk kontrollert

Open Access i DiVA

fulltext(1401 kB)582 nedlastinger
Filinformasjon
Fil FULLTEXT01.pdfFilstørrelse 1401 kBChecksum SHA-512
3e2f894c2a68e48ef42f2c945821623a46a0474fe65564d59b0098456bfbd5050a97368746245d7380ffcffad980c749d445dd71b67fcebc70ace6da9c98a5ab
Type fulltextMimetype application/pdf

Av organisasjonen

Søk utenfor DiVA

GoogleGoogle Scholar
Totalt: 582 nedlastinger
Antall nedlastinger er summen av alle nedlastinger av alle fulltekster. Det kan for eksempel være tidligere versjoner som er ikke lenger tilgjengelige

urn-nbn

Altmetric

urn-nbn
Totalt: 1235 treff
RefereraExporteraLink to record
Permanent link

Direct link
Referera
Referensformat
  • apa
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • Annet format
Fler format
Språk
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Annet språk
Fler språk
Utmatningsformat
  • html
  • text
  • asciidoc
  • rtf