文章基本信息

标题：STRATEGIES TO IMPROVE THE ACCURACY OF SPF INFLATION RATE FORECASTS OF USA
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作者：Bratu (Simionescu) Mihaela
期刊名称：Ekonomika, Journal for Economic Theory and Practice and Social Issuses
印刷版ISSN：0350-137X
电子版ISSN：2334-9190
出版年度：2013
期号：57
页码：12-25
出版社：Society of Economists Ekonomika, Nis
摘要：In this study, some strategies of improving the forecasts accuracy were tested for the USA quarterly inflation rate. The classical filters and Holt Winters technique were applied for one-step-ahead forecasts on a horizon of four quarters from 1975 to 2011. Combined forecasts were made using the original SPF values and the new predictions based on filters and Holt Winters method. Some conclusions are valid for all the years for which forecasts are provided: combined predictions based on classical schemes (optimal, inverse weighted and equally weighted scheme) and the smoothed SPF forecasts using Holt Winters technique are two strategies of improving the accuracy of SPF expectations. However, the last one is the best, one reason being that the future evolution of inflation in USA is determined by recent values. Keywords: forecasts, accuracy, combined forecasts, combining schemes, Holt Winters technique, Hodrick-Prescott filter, Band-Pass filter, Christiano-Fitzegerald filter