Estimating expected inflation
Posted: Tue Mar 30, 2010 9:24 am
Hi All,
I have a question regarding the estimation of expected inflation, which I need to calculate real interest rates. I have data on current inflation and nominal rates.
I know that I need an ARIMA(0,1,1) process for doing this. The thing is that I don't know how generate the new variable out of this ARIMA model when this is estimated.
Does anyone have any suggestions?
Thanks a lot in advance!
I have a question regarding the estimation of expected inflation, which I need to calculate real interest rates. I have data on current inflation and nominal rates.
I know that I need an ARIMA(0,1,1) process for doing this. The thing is that I don't know how generate the new variable out of this ARIMA model when this is estimated.
Does anyone have any suggestions?
Thanks a lot in advance!