Mozambique Consumer Price Index Estimation through Time Series Models

Abstract

Filipe Mahaluca, Fernando Nhampossa, Valentim Macuacua, Abu Bacar, Gilberto Solomon, Manogi Mambo, Jose Manjate and Alfeu Vilanculos

Background: The Consumer Price Index (CPI) is the main indicator for determining the prices level of a certain economy. The above-mentioned rate refers to the average prices on an indicated period and it is calculated mainly on goods consumed basis by selected families through weighting criteria and therefore, identifying the inflation damages on waged workers as well as their life standards thus, providing precise information on their earnings improvement or compensating their previous or equivalent buying empowerment. The application of rates is based on statistics models whereby; the temporary series is identified as observation of different periods that relevant variable values stand to foresee the future hypothesis confirmation.
Objective: To Estimate the Consumer Price Index in Mozambique using Time Series Models.
Methods: The following study based on monthly CPI data of Mozambique dating January 2011 to July 2020 out of 115 observed analyses. The data was processed through free open codes Gretl and 4.02-R Version Statistic Packages. The data hereby used was provided by the Mozambican National Statistics Institute (INE). The study applied the Box and Jenkins approach claiming that each temporary series value is based on its previous values due to the temporarily correlation between the series values that generally exist. The method consists of adjusting the Auto-regressive integrated Moving Average Method (ARIMA) to a data group under four interactive stages cycles
 Results: From 103 observations taken into account, the highest registered index was 158,25 corresponding to December 2016. On the other hand, it is notable that 101,62 is the smallest rate corresponding to January 2011period. The 114,68 medium rate breaks apart the price series in half resulting 50% of rates below such price and consequently, the remaining 50% above the same price. The similar parameter indicates all distribution format ends. Positive numbers indicate the widest end on the right while the negative numbers indicate the widest end on the left. Consequently, the positive asymmetry (1, 5217) indicates that the distribution has a wide end on the right. For kurtosis, the series is platykurtic since its result is less than 3 (2,6904 <3).
Conclusion: The CPI in Mozambique showed an increasing trend in the period analyzed, between January 2011 and July 2020, with a sharp rise in 2016 returning to the original level and the normal growth trend of the series. In the estimation stage, it was possible to adequately select (02) two ARIMA models (p,d,q) that presented good fit to the data, and among them, the model selected as the most appropriate for predictions according to performance measures, was ARIMA (0.1.0) with constant, because it presented lower values of absolute mean percentage error (AMPS) and mean quadratic error (REQM). According to the selected model, the previsions for the period from August 2020 to July 2021 indicate a slight growth in consumer price index.

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