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Yet more on a stochastic economic model: Part 5: a vector autoregressive (VAR) Model for retail prices and wages

Published online by Cambridge University Press:  11 May 2018

A. D. Wilkie  and
Şule Şahin
A. D. Wilkie*
Affiliation:
InQA Limited, Dennington, Ridgeway, Horsell, Woking GU21 4QR, UK
Şule Şahin
Affiliation:
Institute for Financial and Actuarial Mathematics, University of Liverpool, Mathematical Sciences Building, Liverpool L69 7ZL, UK Department of Actuarial Sciences, Hacettepe University, Ankara 06800, Turkey
*
*Correspondence to: A. D. Wilkie, InQA Limited, Dennington, Ridgeway, Horsell, Woking GU21 4QR, UK. Tel: +44 1483 725984 or +44 1483 755826. E-mail: david.wilkie@inqa.com
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Abstract

In this paper we develop a vector autoregressive model for retail prices and wages within the Wilkie model. The results turn out to be a slight improvement over the original model, but the simulated results are not very different.

Keywords

Wilkie modelRetail pricesWagesVector autoregressive (VAR) model
Type
Paper
Information
Annals of Actuarial Science , Volume 13 , Issue 1 , March 2019 , pp. 92 - 108
Copyright
© Institute and Faculty of Actuaries 2018 

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References

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Wilkie, A.D. & Şahin, Ş (2016). Yet more on a stochastic economic model: Part 2: initial conditions, select periods and neutralising parameters. Annals of Actuarial Science, 10, 1–51.Google Scholar
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