1{2 "task_id": "F3-conf-04",3 "model_name": "ar_sdum_aic",4 "model_description": "Iterated multi-step AR(p) with four quarter-of-year intercept dummies, estimated by OLS on an expanding window (1995Q2 to origin), lag order p in 0..4 re-selected by AIC at every origin on a common sample, then re-estimated on the full window.",5 "n_origins": 40,6 "first_origin": "2015-10-01",7 "last_origin": "2025-07-01",8 "rmse_snaive_h1": 2.849125860156572,9 "mae_snaive_h1": 2.1374736750000003,10 "rmse_model_h1": 2.1929816943854905,11 "mae_model_h1": 1.5194119747378638,12 "rmse_snaive_h2": 2.846674080377472,13 "mae_snaive_h2": 2.1259446750000004,14 "rmse_model_h2": 2.4625629688732493,15 "mae_model_h2": 1.552562787751599,16 "rmse_snaive_h4": 2.8823159392575315,17 "mae_snaive_h4": 2.181266125,18 "rmse_model_h4": 2.343030574977449,19 "mae_model_h4": 1.5973272111361247,20 "rel_improvement_rmse_h1": 0.2302966586864027,21 "rel_improvement_rmse_h2": 0.13493329431421563,22 "rel_improvement_rmse_h4": 0.18710140582957724,23 "loss_diff_mean_h4": 2.817952898418871,24 "loss_diff_se_h4": 1.8512807864167726,25 "hac_lags_h4": 4,26 "hac_kernel_h4": "bartlett",27 "dm_stat_h4": 1.5221639629681083,28 "dm_pvalue_h4": 0.13603579303325308,29 "feasibility": "complete",30 "feasibility_reason": null,31 "data_issues": [32 {33 "issue": "infl_annualised is missing for 1995Q1 (first difference undefined)",34 "handling": "1995Q1 excluded from all estimation samples; consistency of cpi_avg with the monthly file and of infl_annualised with 400*dln(cpi_avg) verified (max abs diff < 1e-5)"35 },36 {37 "issue": "Evaluation window contains the 2020 COVID shock and the 2021-2023 inflation surge (outliers relative to the pre-2015 estimation sample)",38 "handling": "No winsorising or exclusion; errors computed on the data as given, noted as a limitation"39 }40 ],41 "n_input_rows": {42 "cpi_quarterly.csv": 127,43 "cpi_monthly.csv": 38144 },45 "n_analysed": 121,46 "random_seed": null,47 "supplementary": {48 "chosen_p_by_origin": {49 "2015-10-01": 2,50 "2016-01-01": 2,51 "2016-04-01": 2,52 "2016-07-01": 2,53 "2016-10-01": 2,54 "2017-01-01": 2,55 "2017-04-01": 2,56 "2017-07-01": 2,57 "2017-10-01": 2,58 "2018-01-01": 2,59 "2018-04-01": 2,60 "2018-07-01": 2,61 "2018-10-01": 2,62 "2019-01-01": 2,63 "2019-04-01": 2,64 "2019-07-01": 2,65 "2019-10-01": 2,66 "2020-01-01": 2,67 "2020-04-01": 2,68 "2020-07-01": 2,69 "2020-10-01": 2,70 "2021-01-01": 2,71 "2021-04-01": 2,72 "2021-07-01": 2,73 "2021-10-01": 2,74 "2022-01-01": 1,75 "2022-04-01": 1,76 "2022-07-01": 1,77 "2022-10-01": 1,78 "2023-01-01": 1,79 "2023-04-01": 1,80 "2023-07-01": 1,81 "2023-10-01": 1,82 "2024-01-01": 1,83 "2024-04-01": 1,84 "2024-07-01": 1,85 "2024-10-01": 1,86 "2025-01-01": 1,87 "2025-04-01": 1,88 "2025-07-01": 189 },90 "dm_sensitivity": {91 "bartlett_L3": {92 "se": 2.086237006681122,93 "stat": 1.350734786792894,94 "p_t": 0.18456596611776083,95 "p_normal": 0.1767804046562032696 },97 "bartlett_L4": {98 "se": 1.8512807864167726,99 "stat": 1.5221639629681083,100 "p_t": 0.13603579303325308,101 "p_normal": 0.12796800229110086102 },103 "bartlett_L6": {104 "se": 1.3784080101108849,105 "stat": 2.0443532522654038,106 "p_t": 0.04771156354253877,107 "p_normal": 0.04091866197008554108 },109 "bartlett_L8": {110 "se": 1.1993260546633506,111 "stat": 2.349613674664866,112 "p_t": 0.023949838766267575,113 "p_normal": 0.01879290479120312114 },115 "rectangular_L3": {116 "se": 1.6984334664159886,117 "stat": 1.6591482410937635,118 "p_t": 0.1051078761785903,119 "p_normal": 0.09708592437817802120 },121 "hln_rectangular_L3": {122 "stat": 1.5138307129703013,123 "p_t": 0.1381316224787431124 },125 "dm_h1_bartlett_L1": {126 "mean": 3.3083494551030697,127 "se": 1.9931443431548814,128 "stat": 1.65986445811867,129 "p_t": 0.10496281889788621130 },131 "dm_h2_bartlett_L2": {132 "mean": 2.039336944227094,133 "se": 2.6562340916947274,134 "stat": 0.7677549770946425,135 "p_t": 0.4472564751510958136 },137 "h4_excl_targets_2020_2023": {138 "n": 24,139 "loss_diff_mean": 1.2670684079148344140 }141 },142 "dm_pvalue_reference": "Student t with n-1 = 39 df"143 }144}