Número:
756
Publicado:
Clasificación JEL:
C22, C52
Palabras clave:
ARIMA models, power transformations, seasonality, bayesian analysis
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Juan José Ospina-Tejeiro, Jorge Enrique Ramos-Forero, David Camilo López-Valenzuela, Yurany Hernández-Turca, Nicolle Valentina Herrera-Pinto
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