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Volume 8
Issue 2
Online publication date 2012-12-15
Title Point forecasts based on the limits of the forecast intervals to improve the SPF predictions
Author Bratu (Simionescu) Mihaela
In this study, some strategies of improving the forecasts accuracy were tested for the USA quarterly inflation rate. The classical filters and Holt Winters technique were applied for one-step-ahead forecasts on a horizon of four quarters from 1975 to 2011.  Combined forecasts were made using the original SPF values and the new predictions based on filters and Holt Winters method. Some conclusions are valid for all the years for which forecasts are provided: combined predictions based on classical schemes (optimal, inverse weighted and equally weighted scheme) and the smoothed SPF forecasts using Holt Winters technique are two strategies of improving the accuracy of SPF expectations. However, the last one is the best, one reason being that the future evolution of inflation in USA is determined by recent values
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Keywords Forecasts, accuracy, combined forecasts, combining schemes, Holt Winters technique, Hodrick-Prescott filter, Band-Pass filter, Christiano-Fitzegerald filter
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