The Construction and Assessment of Forecast Intervals for Monthly Inflation Rate1
Abstract
In this research forecast intervals were built for monthly inflation rate during 2014 using an autoregressive model and the historical errors technique. For the first 7 months of 2014 all the actual values of the inflation rate are included in the forecast intervals. However, the historical errors method provided better results, because the intervals’ length is smaller. Therefore, there is a high probability for this method to provide the best prediction intervals for the next 5 months of 2014.References
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