Forecasting Philippine monthly inflation using TRAMO/SEATS

College

Ramon V. Del Rosario College of Business

Department/Unit

Economics

Document Type

Article

Source Title

DLSU Business and Economics Review

Volume

20

Issue

1

First Page

1

Last Page

11

Publication Date

1-1-2010

Abstract

The study aims to explore the feasibility of adopting for inflation forecasting a sophisticated expert system normally used in routine outlier detection and deseasonalization of time series. Known as TRAMO/SEATS expert system, this twin program is a fully automatic procedure that extracts the trend-cycle, seasonal, irregular and certain transitory components of high frequency time series via the so-called ARIMA-model-based method. The results of the study reveal the feasibility of the use of the technique for routine inflation forecasting. The automatic model building capability of TRAMO/SEATS is exploited to arrive at an ex-ante model that has the ability to generate optimal forecasts. The results show the ability of the final model to forecast inflation with remarkable accuracy. © 2010 De La Salle University, Manila, Philippines.

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Digitial Object Identifier (DOI)

10.3860/ber.v20i1.1665

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