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Desagregación de series temporales: metodología y aplicación al caso del PIB en Colombia

Author

Listed:
  • Luis Fernando Melo
  • Martha Misas

Abstract

En este documento se presenta una metodología econométrica desarrollada por Guerrero (1990), que permite construir un estimador para reducir la periodicidad de series temporales. Bajo esta metodología, la estimación de la serie desagregada, es decir, de mayor frecuencia, se realiza replicando la dinámica capturada por la estructura de un modelo ARIMA de la serie indicadora considerando las restricciones impuestas por la serie agregada. Adicionalmente, una aplicación del método se lleva a cabo realizando una estimación trimestral del PIB anual colombiano para el período 1980-1991.

Suggested Citation

  • Luis Fernando Melo & Martha Misas, 1992. "Desagregación de series temporales: metodología y aplicación al caso del PIB en Colombia," Revista ESPE - Ensayos Sobre Política Económica, Banco de la República, vol. 11(22), pages 151-170, December.
    • Handle: RePEc:col:000107:007544
    DOI: 10.32468/Espe.2206
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    Cited by:

    1. Ivonne Caridad Perez Correa & Juan Miguel Martinez Buendia, 2013. "Desagregación multivariada del PIB sectorial del departamento de Bolívar," Revista Economía y Región, Universidad Tecnológica de Bolívar, vol. 7(1), pages 139-167, June.
    2. Alejandro Gómez Sorzano, 1996. "Los efectos dinámicos de perturbaciones nominales sobre el PIB permanente y transitorio colombiano," Ensayos de Economía 9509, Universidad Nacional de Colombia Sede Medellín.

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