Forecasting Philippine monthly inflation using TRAMO/SEATS

• Main Author: Rufino, Cesar C.
• Format: text
• Published: Animo Repository 2010
• Online Access: https://animorepository.dlsu.edu.ph/faculty_research/1035; https://animorepository.dlsu.edu.ph/context/faculty_research/article/2034/type/native/viewcontent/ber.v20i1.1665
• Institution: De La Salle University

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.