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

Número: 
756
Publicado: 
Clasificación JEL: 
C22, C52
Palabras clave: 
ARIMA models, power transformations, seasonality, bayesian analysis

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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