IMPROVING THE INFLATION RATE FORECASTS OF ROMANIAN EXPERTS USING A FIXED-EFFECTS MODELS APPROACH
IMPROVING THE INFLATION RATE FORECASTS OF ROMANIAN EXPERTS USING A FIXED-EFFECTS MODELS APPROACH
Author(s): Mihaela SimionescuSubject(s): Economic history, Methodology and research technology, Transformation Period (1990 - 2010), Present Times (2010 - today), Financial Markets
Published by: Editura Universităţii »Alexandru Ioan Cuza« din Iaşi
Keywords: Accuracy; forecasts; fixed-effects model; random walk; forecast error;
Summary/Abstract: This article proposes an empirical econometric approach to improve the degree of accuracy for predictions made by Romanian experts in forecasting. Several fixed-effects models are constructed using the inflation and unemployment rate actual values and the forecasts provided by the European Commission, the National Commission for Prognosis and Dobrescu’s model over 2001-2014. The predictions based on these fixed-effects models did not improve the forecasters’ accuracy, but combined predictions of these models and naïve forecasts brought a statistically significant improvement for projections made by Romanian forecasters on the horizon 2011-2013. This assumption was proved by common accuracy measures and Diebold-Mariano test.
Journal: Review of Economic and Business Studies (REBS)
- Issue Year: 2014
- Issue No: 13
- Page Range: 87-102
- Page Count: 16
- Language: English
