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Forecasting Inflation in Developing Nations: The Case of Pakistan

Feridun, Mete (2006): Forecasting Inflation in Developing Nations: The Case of Pakistan. Published in: International Research Journal of Finance and Economics No. 3 (2006): pp. 138-159.

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Abstract

This study attempts to outline the practical steps which need to be undertaken to use autoregressive integrated moving average (ARIMA) time series models for forecasting Pakistan’s inflation. A framework for ARIMA forecasting is drawn up. On the basis of insample and out-of-sample forecast it can be concluded that the model has sufficient predictive powers and the findings are well in line with those of other studies. Further, in this study, the main focus is to forecast the monthly inflation on short-term basis, for this purpose, different ARIMA models are used and the candid model is proposed. On the basis of various diagnostic and selection & evaluation criteria the best and accurate model is selected for the short term forecasting of inflation.

Item Type:MPRA Paper
Language:English
Keywords:Forecasting inflation; ARIMA
Subjects:E - Macroeconomics and Monetary Economics > E1 - General Aggregative Models > E10 - General
ID Code:1024
Deposited By:Mete Feridun
Deposited On:04. Dec 2006
Last Modified:07. Nov 2007 01:29
References:

Newey, W. K. and K. D. West (1987) A Simple Positive, Semi-Definite, Heteroskedasticity and Covariance Matrix” , Econometrica, Vol. 55, No. 3, May, Paish, F. W. (1962) “Studies in an inflationary Economy”, Pakistan Economic Surveys Rowlatt, P.A. (1987) :Analysis of the Inflation Process, Government Working paper No. 99, HM Treasury, London. SBP, Annual Reports (Various Issues) Price Section. Stockton, D. J. and J. E. Glassman (1987) “An Evaluation Alternative Models of Inflation””, The Review of Economics Stockton, D., and J. Glassman (1987) “An Evaluation of the Alternative Models of Inflation”, Review of Economics and pp. 108-117. Theil, H. (1963) “On the use of incomplete prior information the American Statistical Association, Vol. 58, pp. 401-414. Tylecote, A, (1981) The causes of the Present Inflation, Macmillan, Webb (1995) “Forecast of Inflation from VAR models”, Journal May, pp. 268-285. Winters, L. A. and Sapsford, D. (1990) “Primary Commodity Policy”, Cambridege University Press, Cambridge.

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