Message-ID: <26633577.1075856937058.JavaMail.evans@thyme> Date: Fri, 31 Mar 2000 08:02:00 -0800 (PST) From: vince.kaminski@enron.com To: vkaminski@aol.com Subject: PPI Index Short-Term Models Mime-Version: 1.0 Content-Type: text/plain; charset=us-ascii Content-Transfer-Encoding: 7bit X-From: Vince J Kaminski X-To: vkaminski@aol.com X-cc: X-bcc: X-Folder: \Vincent_Kaminski_Jun2001_8\Notes Folders\Sent X-Origin: Kaminski-V X-FileName: vkamins.nsf ---------------------- Forwarded by Vince J Kaminski/HOU/ECT on 03/31/2000 04:03 PM --------------------------- Zimin Lu 03/31/2000 01:44 PM To: Vince J Kaminski/HOU/ECT@ECT, Maureen Raymond/HOU/ECT@ECT cc: Subject: PPI Index Short-Term Models ---------------------- Forwarded by Zimin Lu/HOU/ECT on 03/31/2000 01:43 PM --------------------------- Anjam Ahmad 03/21/2000 04:10 PM To: Martina Angelova/LON/ECT@ECT, Trena McFarland/LON/ECT@ECT cc: Dale Surbey/LON/ECT@ECT, Stinson Gibner/HOU/ECT@ECT, Zimin Lu/HOU/ECT@ECT, Vince J Kaminski/HOU/ECT@ECT Subject: PPI Index Short-Term Models Hi Martina & Trena, I made a few minor changes to the models... I reckon these models can be checked in Houston now - the raw data is included (see attached spreadsheets) and all the regression parameters and main statistics are displayed. I became interested in how far DZCV and PLLU should be below RPI and whether this model is reflecting any reversion to the RPI level; I believe that the forecasts are accurately reflecting this. Please see graphs below: Both models really need our RPI curve to be linked (at the moment I have just copied the 2.3% number forward). Because the auto-regressive error term is not very important, we can run the models forward with reasonable confidence. As I mentioned, I don't think we can really run this model more than 12 months, in fact, I think we should run for 9-12 months and blend the next 3-4 months out with the long-term model. Hope I can fix the long-term ones now with some new insight! Regards, Anjam x35383 PLLU: DZCV: