Core inflation, seasonal adjustment and measures of the underlying trend

Fenwick, David

doi:10.3233/sju-2004-21203

Cited by 3 publications

(2 citation statements)

References 5 publications

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“…He found that the extent of the seasonality of the overall CPI to be similar for trimmed means and medians, but there was a marked increase in seasonality when food and energy were excluded. Fenwick (2004) argues the case for seasonally adjusting an exclusion-based index in order to better identify the long-term trend. Irregular changes, such as those due to mortgage interest payments and indirect taxes are first removed, since these irregular components may obscure or confound the seasonal patterns.…”

Section: Seasonality and The Observation Intervalmentioning

confidence: 99%

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Core Inflation Measures and Statistical Issues in Choosing Among them

Silver

2006

IMF Working Papers

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This Working Paper should not be reported as representing the views of the IMF.The views expressed in this Working Paper are those of the author(s) and do not necessarily represent those of the IMF or IMF policy. Working Papers describe research in progress by the author(s) and are published to elicit comments and to further debate.This paper provides an overview of statistical measurement issues relating to alternative measures of core inflation, and the criteria for choosing among them. The approaches to measurement considered include exclusion-based methods, imputation methods, limited influence estimators, reweighting, and economic modeling. Criteria for judging which approach to use include credibility, control, deviations from a smoothed reference series, volatility, predictive ability, causality and cointegration tests, and correlation with money supply. Country practice can differ in how the approaches are implemented and how their appropriateness is assessed. There is little consistency in the results of country studies to readily suggest guidelines on accepted methods.

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Section: Seasonality and The Observation Intervalmentioning

confidence: 99%

“…However, a (say) 12 month moving average trend cannot provide trend estimates for the first 6 months and last 6 months of the series (see Section V(C). Fenwick (2004) acknowledges that such methods suffer from a loss of information at the start and end of the series. present, seasonally adjust the series.…”

Section: Seasonality and The Observation Intervalmentioning

confidence: 99%

Core Inflation Measures and Statistical Issues in Choosing Among them

Silver

2006

IMF Working Papers

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Core Inflation: Measurement and Statistical Issues in Choosing Among Alternative Measures

Silver¹

2007

IMF Staff Pap

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This paper provides an overview of statistical measurement issues relating to alternative measures of core inflation and the criteria for choosing among them. The approaches to measurement considered include exclusion-based methods, limited influence estimators, reweighting, and economic modeling. Criteria for judging which approach to use include credibility, control, deviations from a smoothed reference series, volatility, predictive ability, causality and cointegration tests, and correlation with money supply. The extensive number of measures, criteria by which their appropriateness is assessed, and lack of consistency in the results of country studies argue for a data-driven approach.

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Core Inflation Measures and Statistical Issues in Choosing Among Them

Silver

2006

SSRN Journal

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Core inflation, seasonal adjustment and measures of the underlying trend

Cited by 3 publications

References 5 publications

Core Inflation Measures and Statistical Issues in Choosing Among them

Core Inflation Measures and Statistical Issues in Choosing Among them

Core Inflation: Measurement and Statistical Issues in Choosing Among Alternative Measures

Core Inflation Measures and Statistical Issues in Choosing Among Them

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