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Comments on a model of retail price inflation

Published online by Cambridge University Press:  20 April 2012

A. Kitts
A. Kitts
Affiliation:
Department of Social Statistics, University of Southampton
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Abstract

The paper comments on the estimation and sensitivity of the retail price inflation component of the stochastic financial model proposed by Professor Wilkie. Statistical tests provide evidence of nonindependence and non-normality of residuals, suggesting non-linearity. However, it is noted that the model is most sensitive to the assumption of long-term mean inflation.

Keywords

InflationModelSimulationTime-series
Type
Research Article
Information
Journal of the Institute of Actuaries , Volume 117 , Issue 2 , September 1990 , pp. 407 - 413
Copyright
Copyright © Institute and Faculty of Actuaries 1990

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