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Forecasting Inflation Through Econometric Models : An Empirical Study on Pakistani Data = Ekonometrik Modellerle Enflasyon Tahmini : Pakistan Üzerine Ampirik Bir Uygulama

Author(s): S. M. Husnain BOKHARI | Mete FERİDUN

Journal: Dogus University Journal
ISSN 1302-6739

Volume: 7;
Issue: 1;
Start page: 39;
Date: 2006;
Original page

Keywords: Modeling and forecasting inflation | ARIMA | VAR | Enflasyon modellemesi ve tahmini | ARIMA | VAR

This article aims at modeling and forecasting inflation in Pakistan. For this purpose a number of econometric approaches are implemented and their results are compared. In ARIMA models, adding additional lags for p and/or q necessarily reduced the sum of squares of the estimated residuals. When a model is estimated using lagged variables, some observations are lost. Results further indicate that the VAR models do not perform better than the ARIMA (2, 1, 2) models and, the two factor model with ARIMA (2, 1, 2) slightly performs better than the ARIMA (2, 1, 2). Although the study focuses on the problem of macroeconomic forecasting, the empirical results have more general implications for small scale macroeconometric models.

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