SARIMA model proposal with intervention variables for the forecast of inflation in Mexico
DOI:
https://doi.org/10.17533/udea.le.n105a359932Keywords:
Inflation, forecasting, Macroeconomics, Time series, MexicoAbstract
The variation in the components of the consumer price index (CPI) is a phenomenon that affects different economic sectors in Mexico.
Due to the above, and according to the reviewed literature, several ARIMA and SARIMA test models were proposed for the forecast of inflation in Mexico, based on the annual variation of the National Consumer Price Index (NCPI) by monthly quote, from July 2018 to October 2024; finding that those events that were significant in the price were the extended Covid-19 quarantine and the war in Ukraine. This was done by generating several sets of pulse and step-type intervention variables.
From the analysis performed, it was observed that the SARIMA (0.1.1) (2,0,0) [12] model integrated with a step variable from March 2021- to March 2023 was the best, compared to the other tested models. In the conclusions, some considerations to take into account when making inflation projections with the proposed model are briefly discussed. In the end, it is expected that the information provided in this research can serve as support in decision-making for all the economic actors which operations are impacted by the variation in the inflation rate.
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