THE EVALUATION OF QUARTERLY FORECAST INTERVALS FOR INFLATION RATE IN ROMANIA
The forecast uncertainty was one of the causes of the recent economic crisis and its evaluation became more necessary nowadays. The aim of this paper is to build and assess different types of forecast intervals for quarterly inflation rate in Romania. The Bootstrap Bias-corrected-accelerated (BCA) ...
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| Format: | Article |
| Language: | English |
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Faculty of Economics, University of Tuzla
2016-05-01
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| Series: | Economic Review |
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| Online Access: | http://er.ef.untz.ba/index.php/er/article/view/116 |
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| _version_ | 1823861287690436608 |
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| author | Mihaela Simionescu Irina Drăgan |
| author_facet | Mihaela Simionescu Irina Drăgan |
| author_sort | Mihaela Simionescu |
| collection | DOAJ |
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The forecast uncertainty was one of the causes of the recent economic crisis and its evaluation became more necessary nowadays. The aim of this paper is to build and assess different types of forecast intervals for quarterly inflation rate in Romania. The Bootstrap Bias-corrected-accelerated (BCA) forecast intervals outperformed the intervals based on historical errors, four out of six values of inflation rate being placed in the first type of intervals during Q3:2013-Q4:2014. The likelihood ratio tests and the chi-square test indicated that there are significant differences between the ex-ante probability of 0.95 and the real probabilities for both types of forecast intervals. As a methodological novelty, Monte Carlo and bootstrap simulations were used for assessing the uncertainty in inflation rate forecasts in Romania.
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| format | Article |
| id | doaj-art-c956cd544fb744e6ae6e55cf2fa69dff |
| institution | Kabale University |
| issn | 1512-8962 2303-680X |
| language | English |
| publishDate | 2016-05-01 |
| publisher | Faculty of Economics, University of Tuzla |
| record_format | Article |
| series | Economic Review |
| spelling | doaj-art-c956cd544fb744e6ae6e55cf2fa69dff2025-02-10T00:31:13ZengFaculty of Economics, University of TuzlaEconomic Review1512-89622303-680X2016-05-01141THE EVALUATION OF QUARTERLY FORECAST INTERVALS FOR INFLATION RATE IN ROMANIAMihaela Simionescu0Irina Drăgan1 Institute for Economic Forecasting of the Romanian AcademyBucharest University of Economic Studies The forecast uncertainty was one of the causes of the recent economic crisis and its evaluation became more necessary nowadays. The aim of this paper is to build and assess different types of forecast intervals for quarterly inflation rate in Romania. The Bootstrap Bias-corrected-accelerated (BCA) forecast intervals outperformed the intervals based on historical errors, four out of six values of inflation rate being placed in the first type of intervals during Q3:2013-Q4:2014. The likelihood ratio tests and the chi-square test indicated that there are significant differences between the ex-ante probability of 0.95 and the real probabilities for both types of forecast intervals. As a methodological novelty, Monte Carlo and bootstrap simulations were used for assessing the uncertainty in inflation rate forecasts in Romania. http://er.ef.untz.ba/index.php/er/article/view/116UncertaintyForecastsForecast intervalsInflation rateMonte Carlo simulationsBootstrap BCA |
| spellingShingle | Mihaela Simionescu Irina Drăgan THE EVALUATION OF QUARTERLY FORECAST INTERVALS FOR INFLATION RATE IN ROMANIA Economic Review Uncertainty Forecasts Forecast intervals Inflation rate Monte Carlo simulations Bootstrap BCA |
| title | THE EVALUATION OF QUARTERLY FORECAST INTERVALS FOR INFLATION RATE IN ROMANIA |
| title_full | THE EVALUATION OF QUARTERLY FORECAST INTERVALS FOR INFLATION RATE IN ROMANIA |
| title_fullStr | THE EVALUATION OF QUARTERLY FORECAST INTERVALS FOR INFLATION RATE IN ROMANIA |
| title_full_unstemmed | THE EVALUATION OF QUARTERLY FORECAST INTERVALS FOR INFLATION RATE IN ROMANIA |
| title_short | THE EVALUATION OF QUARTERLY FORECAST INTERVALS FOR INFLATION RATE IN ROMANIA |
| title_sort | evaluation of quarterly forecast intervals for inflation rate in romania |
| topic | Uncertainty Forecasts Forecast intervals Inflation rate Monte Carlo simulations Bootstrap BCA |
| url | http://er.ef.untz.ba/index.php/er/article/view/116 |
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