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THE JOURNAL OF ECONOMIC SCIENCES: THEORY AND PRACTICE, V.71, # 2, 2014, pp. 66-80
The estimated SARIMA(1,0,1)(0,0,1)x12 model are as follows.
Graph.3. SARIMA(1,0,1)(0,0,1)x12 model loss function
103
Forecast: IQIF_SARIMA_PROQNZ_06
Actual: IQI
102 Forecast sample: 2014M07 2015M12
Included observations: 6
Root Mean Squared Error 0.486535
101 Mean Absolute Error 0.395094
Mean Abs. Percent Error 0.393175
Theil Inequality Coefficient 0.002427
100
Bias Proportion 0.039775
Variance Proportion 0.022030
99 Covariance Proportion 0.938195
98
III IV I II III IV
2014 2015
IQIF_SARIMA_PROQNZ_06 ± 2 S.E.
Bias proportion equals to 0.039775. In order to determine the best fit model we use -
0.486535, -0.395094, -0.393175 and -0.002427.(see. Graph.3)
Graph.4. Inflation dynamics forecasted on the model SARIMA(1,0,1)(0,0,1)x12
102.5
102.0
101.5
101.0
100.5
100.0
99.5
99.0
98.5
2009 2010 2011 2012 2013 2014 2015
IQIF_SARIMA_PROQNZ_06 IQI
Let`s look at an other SARIMA model- SARIMA(2,0,2)(1,0,0)x12:
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