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In this paper, we produce the short-term inflation forecast for Uzbekistan, using univariate and multivariate econometric models. In particular, we use Auto Regressive Integrated Moving Average (ARIMA) model, Bayesian Vector Auto regression Model (BVAR) and Vector Error Correction model (VECM) to project CPI inflation and its decomposed subcomponents. The results of the forecast combination analysis are in line with the outcomes of the other research done in this field. The relative performance of combined forecasts based on the RMSE weighting scheme are on average 33% better for 6-month ahead. Despite some individual models demonstrate better performance in certain time horizons, the overall results reveal that forecast combination method permits to reduce the forecast error in comparison with the aforementioned models taken separately.
Khumoyun Usmanaliev. 2019. \u201cShort-term Inflation Forecast Combination Analysis for Uzbekistan\u201d. Global Journal of Human-Social Science - E: Economics GJHSS-E Volume 19 (GJHSS Volume 19 Issue E4): .
Crossref Journal DOI 10.17406/GJHSS
Print ISSN 0975-587X
e-ISSN 2249-460X
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Total Score: 101
Country: Uzbekistan
Subject: Global Journal of Human-Social Science - E: Economics
Authors: Khumoyun Usmanaliev (PhD/Dr. count: 0)
View Count (all-time): 161
Total Views (Real + Logic): 2908
Total Downloads (simulated): 1425
Publish Date: 2019 05, Fri
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In this paper, we produce the short-term inflation forecast for Uzbekistan, using univariate and multivariate econometric models. In particular, we use Auto Regressive Integrated Moving Average (ARIMA) model, Bayesian Vector Auto regression Model (BVAR) and Vector Error Correction model (VECM) to project CPI inflation and its decomposed subcomponents. The results of the forecast combination analysis are in line with the outcomes of the other research done in this field. The relative performance of combined forecasts based on the RMSE weighting scheme are on average 33% better for 6-month ahead. Despite some individual models demonstrate better performance in certain time horizons, the overall results reveal that forecast combination method permits to reduce the forecast error in comparison with the aforementioned models taken separately.
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