Forecasting inflation in Chile using state-space and regime-switching models /

Forecasting inflation in Chile using state-space and regime-switching models /

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Bibliographic Details
Author / Creator:	Nadal-De Simone, Francisco.
Imprint:	[Washington, D.C.] : International Monetary Fund, Western Hemisphere Dept., ©2000.
Description:	1 online resource (54 pages) : illustrations
Language:	English
Series:	IMF working paper ; WP/00/162 IMF working paper ; WP/00/162.
Subject:	Inflation (Finance) -- Chile -- Forecasting -- Econometric models. Inflation (Finance) -- Forecasting -- Econometric models. Chile.
Format:	E-Resource Book
URL for this record:	http://pi.lib.uchicago.edu/1001/cat/bib/12497268

Hidden Bibliographic Details
Other authors / contributors:	International Monetary Fund. Western Hemisphere Department.
ISBN:	1451903022 9781451903027 1462334733 9781462334735 1452773408 9781452773407 1282110918 9781282110915 9786613803795 6613803790
Notes:	Includes bibliographical references (pages 19-21). Restrictions unspecified Electronic reproduction. [Place of publication not identified] : HathiTrust Digital Library, 2010. Master and use copy. Digital master created according to Benchmark for Faithful Digital Reproductions of Monographs and Serials, Version 1. Digital Library Federation, December 2002. http://purl.oclc.org/DLF/benchrepro0212 English. digitized 2010 HathiTrust Digital Library committed to preserve Print version record.
Summary:	Annotation The paper estimates two time-varying parameter models of Chilean inflation: a Phillips curve model and a small open economy model. Their out-of-sample forecasts are compared with those of simple Box-Jenkins models. the main findings are; forecasts that include the pre-announced inflation target as a regressor are relatively better; the Phillips curve model outperforms the small open economy model in out-of-sample forecasts; and although Box-Jenkins models outperform the two models for short-term out-of-sample forecasts, their superiority deteriorates in longer forecasts. Adding a Markov-switching process to the models does not explain much of the conditional variance of the forecast errors.
Other form:	Print version: Nadal-De Simone, Francisco. Forecasting inflation in Chile using state-space and regime-switching models. [Washington, D.C.] : International Monetary Fund, Western Hemisphere Dept., ©2000

Description
Summary:	The paper estimates two time-varying parameter models of Chilean inflation: a Phillips curve model and a small open economy model. Their out-of-sample forecasts are compared with those of simple Box-Jenkins models. The main findings are; forecasts that include the pre-announced inflation target as a regressor are relatively better; the Phillips curve model outperforms the small open economy model in out-of-sample forecasts; and although Box-Jenkins models outperform the two models for short-term out-of-sample forecasts, their superiority deteriorates in longer forecasts. Adding a Markov-switching process to the models does not explain much of the conditional variance of the forecast errors.
Physical Description:	1 online resource (54 pages) : illustrations
Format:	Master and use copy. Digital master created according to Benchmark for Faithful Digital Reproductions of Monographs and Serials, Version 1. Digital Library Federation, December 2002.
Bibliography:	Includes bibliographical references (pages 19-21).
ISBN:	1451903022 9781451903027 1462334733 9781462334735 1452773408 9781452773407 1282110918 9781282110915 9786613803795 6613803790