Borradores de Economia
Número:
756
Publicado:
Clasificación JEL:
C22, C52
Palabras clave:
ARIMA models, power transformations, seasonality, bayesian analysis
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Anne Brockmeyer, Francois Gerard, Gabriel Ulyssea, Linda Wu, Marcelo Bergolo, Rodrigo Ceni González, Bernard Kirui, Andrea Lopez-Luzuriaga, Leonardo Fabio Morales, Andrea Sofía Otero-Cortés, Nadine Riedel, Matias Tapia, Tanisa Tawichsri, Verena Wiedemann
Marlon Salazar, Andrés Salazar-Mejía, Jorge Daniel Guevara-Acevedo, Juan David Duitama-Correa
Aarón Levi Garavito-Acosta, Wilmer Martinez-Rivera, Camilo González-Sabogal, Johanna Barbosa-Buitrago, Nathaly Vergel-Serrano
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