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A Comparison of Forecasting Models for the Monthly Consumer Price Index: Box-Jenkins' and Exponential Smoothing Models
Journal
University of the Thai Chamber of Commerce Journal
Publisher(s)
Chulalongkorn University Printing House
University of the Thai Chamber of Commerce
Date Issued
2013
Author(s)
Other Contributor(s)
University of the Thai Chamber of Commerce. Journal Editorial Office
Abstract
Inflation rate refers to a general rise in prices measured against a standard level of purchasing power. The most well-known measures of inflation are CPI, which measures consumer prices. Box-Jenkins' ARIMA is widely used to predict the economic or financial future outcome. The purpose of this study is to compare the efficiencies of the ARIMA (Autoregressive Integrated Moving Average Model) and Exponential Smoothing for time series CPI forecasting in Bangkok, Northern, Southern, Central, North-Eastern and combined regions. The data under study are of the consumer price index from January 1994 through February 2011, totaling 206 months. The study shows that the RMSE and MAPE have the same result as follows: 1) In forecasting the CPI for the Southern region, it was found that ARIMA performed better than Exponential Smoothing, and 2) In forecasting the CPI for the North-Eastern region and combined regions, Exponential Smoothing performed better than ARIMA.
Subject(s)
ISSN
0125-2437
Access Rights
public
Rights
This work is protected by copyright. Reproduction or distribution of the work in any format is prohibited without written permission of the copyright owner.
Rights Holder(s)
University of the Thai Chamber of Commerce
Bibliographic Citation
Doungporn Hatchavanich (2013) A Comparison of Forecasting Models for the Monthly Consumer Price Index: Box-Jenkins' and Exponential Smoothing Models. University of the Thai Chamber of Commerce Journal Vol.33 No.2.
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