000294965 001__ 294965
000294965 005__ 20250213113210.0
000294965 0247_ $$2doi$$a10.71609/iheid-cq2j-3d16
000294965 037__ $$aBOOK
000294965 245__ $$aForecasting inflation in Vietnam with univariate and vector autoregressive models
000294965 260__ $$aGeneva$$bThe Graduate Institute of International and Development Studies, International Economics Department$$c2017
000294965 269__ $$a2017
000294965 300__ $$a35 p. : ill.
000294965 336__ $$aPapers and Reports
000294965 490__ $$aGraduate Institute of International and Development Studies Working Paper ; no. 05/2017
000294965 520__ $$aIn this paper, I apply univariate and vector autoregressive (VAR) models to forecast inflation in Vietnam. To investigate the forecasting performance of the models, two naïve benchmark models (one is a variant of a random walk and the other is an autoregressive model) are first built based on Atkeson-Ohanian (2001), Gosselin-Tkacz (2001) and the specific properties of inflation in Vietnam. Then, I compute the pseudo out-of-sample root mean square error (RMSE) as a measure of forecast accuracy for the candidate models and benchmarks, using rolling window and expanding window forecasting evaluation strategies. The process is applied to both monthly and quarterly data from Vietnam for the period from 2000 through the first half of 2015. I also apply the forecastencompassing Diebold-Mariano test to support choosing statistically better forecasting models from among the different candidates. I find that VAR_m2 is the best monthly model to forecast inflation in Vietnam, whereas AR(6) is the best of the quarterly forecasting models, although it provides a statistically insignificantly better forecast than the benchmark BM2_q.
000294965 700__ $$aHoa, Tran Thanh
000294965 8564_ $$9b0da1ca1-53e4-4e2c-b7d9-7c91248fe5f0$$s1499071$$uhttps://repository.graduateinstitute.ch/record/294965/files/HEIDWP05-2017.pdf
000294965 8564_ $$9459646e5-0fa3-4d4e-b22b-172a93a91eab$$xpdfa$$s2352343$$uhttps://repository.graduateinstitute.ch/record/294965/files/HEIDWP05-2017.pdf?subformat=pdfa
000294965 901__ $$uInternational Economics Department$$0319285
000294965 909CO $$ooai:repository.graduateinstitute.ch:294965$$pGLOBAL_SET$$pIHEID:Explore
000294965 937__ $$aWP-2017-065
000294965 980__ $$aWP