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Please use this identifier to cite or link to this item: http://hdl.handle.net/2262/58990

Title: How useful is core inflation for forecasting headline inflation?
Author: Bermingham, Colin
Keywords: Inflation
Forecasting
Quantitative economics
Issue Date: 2007
Publisher: Economic & Social Research Institute
Citation: Bermingham, Colin. 'How useful is core inflation for forecasting headline inflation?'. - Economic & Social Review, Vol. 38, no. 3, Winter, 2007, pp. 355–377, Dublin: Economic & Social Research Institute
Abstract: The paper constructs various core inflation measures. These include various trimmed means using disaggregated data and a structural VAR estimate of core inflation for Ireland. The ability of these core inflation measures to forecast future headline inflation is compared using a regression model. An ARIMA model fitted to the headline inflation rate is used as the benchmark forecast. The forecasts from the ARIMA model are most accurate over short time horizons for monthly data. The structural VAR based estimate is most accurate over longer time horizons. For quarterly data, the structural VAR provides the optimal forecast over all time horizons.
URI: http://hdl.handle.net/2262/58990
ISSN: 00129984
Appears in Collections:Economic and Social Review Archive: Complete Collection 1969-
The Economic and Social Review, Vol. 38, No. 3, Winter, 2007

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