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dc.contributor.author
Huwiler, Marco
dc.contributor.author
Kaufmann, Daniel
dc.date.accessioned
2017-06-22T11:17:17Z
dc.date.available
2017-06-12T10:53:21Z
dc.date.available
2017-06-22T11:17:17Z
dc.date.issued
2013
dc.identifier.issn
1661-142X
dc.identifier.issn
1661-1438
dc.identifier.uri
http://hdl.handle.net/20.500.11850/119435
dc.identifier.doi
10.3929/ethz-a-009760426
dc.description.abstract
This study documents the SNB's ARIMA model based on disaggregated CPI data used to produce inflation forecasts over the short-term horizon, and evaluates its forecasting performance. Our findings suggest that the disaggregate ARIMA model for the Swiss CPI performed better than relevant benchmarks. In particular, estimating ARIMA models for individual CPI expenditure items and aggregating the forecasts from these models gives better results than directly applying the ARIMA method to the total CPI. We then extend the model to factor in changes in the collection frequency of the Swiss CPI data and show that this extension further improves the forecasting performance.
en_US
dc.language.iso
en
en_US
dc.publisher
Swiss National Bank
en_US
dc.rights.uri
http://rightsstatements.org/page/InC-NC/1.0/
dc.subject
Forecast combination
en_US
dc.subject
Missing data
en_US
dc.subject
WIRTSCHAFTSPROGNOSEN
en_US
dc.subject
Swiss CPI inflation
en_US
dc.subject
TIME SERIES ANALYSIS (MATHEMATICAL STATISTICS)
en_US
dc.subject
Kalman filter
en_US
dc.subject
INFLATION
en_US
dc.subject
Disaggregate information
en_US
dc.subject
ZEITREIHENANALYSE (MATHEMATISCHE STATISTIK)
en_US
dc.subject
KOF-Key-refereed
en_US
dc.subject
ECONOMIC FORECASTS
en_US
dc.subject
ARIMA models
en_US
dc.subject
Forecast aggregation
en_US
dc.title
Combining disaggregate forecasts for inflation: The SNB's ARIMA model
en_US
dc.type
Report
dc.rights.license
In Copyright - Non-Commercial Use Permitted
dc.date.published
2016
ethz.title.subtitle
the SNB's ARIMA model
en_US
ethz.journal.title
Swiss National Bank Economic Study
ethz.journal.volume
7
en_US
ethz.size
32 p.
en_US
ethz.code.ddc
3 - Social sciences::330 - Economics
en_US
ethz.code.ddc
5 - Science::510 - Mathematics
en_US
ethz.identifier.nebis
009896734
ethz.publication.place
Zürich
en_US
ethz.publication.status
published
en_US
ethz.leitzahl
ETH Zürich::00002 - ETH Zürich::00012 - Lehre und Forschung::00007 - Departemente::02120 - Dep. Management, Technologie und Ökon. / Dep. of Management, Technology, and Ec.::03716 - Sturm, Jan-Egbert / Sturm, Jan-Egbert
ethz.leitzahl
ETH Zürich::00002 - ETH Zürich::00012 - Lehre und Forschung::00007 - Departemente::02120 - Dep. Management, Technologie und Ökon. / Dep. of Management, Technology, and Ec.::02525 - KOF Konjunkturforschungsstelle / KOF Swiss Economic Institute
ethz.leitzahl.certified
ETH Zürich::00002 - ETH Zürich::00012 - Lehre und Forschung::00007 - Departemente::02120 - Dep. Management, Technologie und Ökon. / Dep. of Management, Technology, and Ec.::03716 - Sturm, Jan-Egbert / Sturm, Jan-Egbert
ethz.leitzahl.certified
ETH Zürich::00002 - ETH Zürich::00012 - Lehre und Forschung::00007 - Departemente::02120 - Dep. Management, Technologie und Ökon. / Dep. of Management, Technology, and Ec.::02525 - KOF Konjunkturforschungsstelle / KOF Swiss Economic Institute
ethz.date.deposited
2017-06-12T10:57:50Z
ethz.source
ECOL
ethz.source
ECIT
ethz.identifier.importid
imp593654a12322836257
ethz.identifier.importid
imp59366b3ba8b8759785
ethz.ecolpid
eth:49611
ethz.ecitpid
pub:181447
ethz.eth
yes
en_US
ethz.availability
Open access
en_US
ethz.rosetta.installDate
2017-06-22T11:17:20Z
ethz.rosetta.lastUpdated
2018-11-05T13:01:44Z
ethz.rosetta.versionExported
true
ethz.COinS
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