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Forecasting annual inflation with power transformations : the case of inflation targeting countries

Hector Manuel
Zárate-Solano
Angélica
Rengifo Gómez
Viernes, 1 Febrero 2013

This paper investigates whether transforming the Consumer Price Index with a class of power transformations lead to an improvement of inflation forecasting accuracy. We use one of the prototypical models to forecast short run inflation which is known as t