SNB researchers find modified Arima model predicts inflation better
A new study into the Swiss National Bank's (SNB) autoregressive integrated moving average (Arima) model finds that using disaggregated consumer price index (CPI) data makes the Arima a better predictor of inflation than "relevant benchmarks".
The study: Combining disaggregate forecasts for inflation: The SNB's Arima model, by the SNB's head of financial market analysis, Marco Huwiler, and Daniel Kaufmann of the inflation forecasting department, documents the SNB's Arima model based on
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