1{2 "task_id": "F3-conf-04",3 "model_name": "sar_dummy_aic",4 "model_description": "Seasonal autoregression: OLS of quarterly annualised inflation on four quarter dummies and p own lags, p in {0,...,4} chosen by AIC on a common sample at each origin, re-estimated by OLS on the expanding window from 1995Q2 to the origin, iterated multi-step forecasts.",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": 0.12796800229110086,29 "sensitivity_h4": {30 "bartlett_L3": {31 "se": 2.086237006681122,32 "lrv": 174.0953939218323,33 "dm_stat": 1.350734786792894,34 "pvalue_normal": 0.1767804046562032635 },36 "rectangular_L3": {37 "se": 1.6984334664159886,38 "lrv": 115.38704959367324,39 "dm_stat": 1.6591482410937635,40 "pvalue_normal": 0.0970859243781780241 },42 "bartlett_L6": {43 "se": 1.3784080101108849,44 "lrv": 76.00034569351398,45 "dm_stat": 2.0443532522654038,46 "pvalue_normal": 0.0409186619700855447 },48 "hln_corrected_main": {49 "dm_stat": 1.3888442878368983,50 "pvalue_t_T-1": 0.1727608798232524751 }52 },53 "ar_lag_order_selected": {54 "min": 1,55 "max": 2,56 "counts": {57 "1": 15,58 "2": 2559 }60 },61 "feasibility": "complete",62 "feasibility_reason": null,63 "data_issues": [64 {65 "issue": "infl_annualised missing for 1995Q1 (first difference undefined)",66 "handling": "row excluded from modelling (exclusions.csv step 1)"67 },68 {69 "issue": "large genuine shocks: 2008Q4 (-6.0), 2020Q2 COVID, 2022Q2 (+12.1)",70 "handling": "retained; no outlier treatment, since any such treatment would require post-origin judgement"71 }72 ],73 "n_input_rows": {74 "cpi_quarterly.csv": 127,75 "cpi_monthly.csv": 38176 },77 "n_analysed": 121,78 "random_seed": null79}