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Working papers N° 511: Forecasting Chilean Inflation in Difficult Times

Autor: Gustavo Leyva


Description

In this paper we compare point and density forecasts generated by estimating AR and VAR models using disaggregated quarterly data of Chilean inflation. We motivate this comparison by our belief that, in the recent high inflation context, the use of the joint dynamics of the price index inflation of the consumer basket’s components renders multivariate model’s forecasts more useful than the forecasts constructed based on univariate

Working papers N° 511: Forecasting Chilean Inflation in Difficult Times
 
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