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Title: Non-normality, uncertainty and inflation forecasting : an analysis of China's inflation
Author: Wu, Yinkai
ISNI:       0000 0004 5924 1378
Awarding Body: University of Leicester
Current Institution: University of Leicester
Date of Award: 2016
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Economic forecasting is important because it can affect the decision making processes of individuals, firms and governments so as to affect their behaviours. In this thesis, I discuss different methodologies for forecasting and forecast evaluation. I also discuss the role of assumption of normality and the role of uncertainty in economic forecasting. The first chapter is the introduction of the thesis. In second chapter, I conduct a Monte Carlo simulation to investigate the performances of forecast combination and the forecast encompassing test under the forecast errors non-normality. In third chapter, I examines the relationship between inflation forecast uncertainties and macroeconomic uncertainty for China by using different measures of uncertainties. I also investigate the relationship between inflation forecast uncertainties and inflation itself. In fourth chapter, I compute the probabilities of deflation for China by applying density forecast based on the theories and methodologies from previous two chapters. Particularly, I construct density forecasts for different forecast horizons by a joint distribution using Student-t copula. The fifth chapter is conclusion.
Supervisor: Charemza, Wojciech ; Mise, Emi Sponsor: Not available
Qualification Name: Thesis (Ph.D.) Qualification Level: Doctoral
EThOS ID:  DOI: Not available