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Mehrotra , Aaron; Sánchez-Fung, José R. (2008)
Publisher: Bank of Finland
Types: Book
Subjects: economics, inflation forecasting; data-rich environment; principal components; China
jel: jel:E31, jel:C53
This paper forecasts inflation in China over a 12-month horizon. The analysis runs 15 alternative models and finds that only those considering many predictors via a principal component display a better relative forecasting performance than the univariate benchmark.
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    • Qin, Duo, Marie Anne Cagas, Geoffrey Ducanes, Nedelyn Magtibay-Ramos and Pilipanas Quising (2006) Forecasting Inflation and GDP Growth: Automatic Leading Indicator (ALI) Method versus Macroeconometric Structural Models (MESMs). ERD Technical Note Series 18. Asian Development Bank, Economics and Research Department.
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