Comments on a model of retail price inflation
- 1 September 1990
- journal article
- research article
- Published by Cambridge University Press (CUP) in Journal of the Institute of Actuaries
- Vol. 117 (2) , 407-413
- https://doi.org/10.1017/s0020268100043134
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
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