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En busca de un buen marco de referencia predictivo para la inflación en Chile

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Author Info

  • Pincheira, Pablo

    (Banco Central de Chile)

  • García, Álvaro

    (Universidad de California, Los Ángeles)

Abstract

In this article we analyze the accuracy and stability of short-run inflation forecasts for Chile coming from Extended Seasonal Arima (ESARIMA) models. We compare ESARIMA forecasts to those coming from surveys and traditional time series bench- marks available in the literature. Our results show that ESARIMA based forecasts display lower out-of-sample Mean Squared Prediction Error than forecasts coming from traditional benchmarks when the predictive horizon ranges from 1 to 4 months. At longer horizons, the worst models from the ESARIMA family are outperformed by the best univariate traditional benchmarks. We obtain opposite results when compar-ing ESARIMA outcomes to survey-based forecasts: the survey provides more accurate forecasts at every single horizon. Our results are, in general, statistically significant at usual confidence levels. We also notice that ESARIMA forecasts are more stable than traditional time series methods but less stable than survey-based forecasts.// En este artículo investigamos la precisión y estabilidad de las proyecciones de corto plazo de la inflación en Chile provenientes de una determinada subfamilia extendida de modelos SARIMA que denominamos ESARIMA. Las proyecciones ESARIMA son comparadas con las provenientes de encuestas y de simples modelos univariados, incluyendo algunos que han sido tradicionalmente utilizados como marcos de referencia predictivos en la bibliografía. Nuestros resultados indican que el error cuadrático medio fuera de muestra de las proyecciones ESARIMA es menor que el de los métodos univariados considerados, cuando el horizonte predictivo varía de 1 a 4 meses. En horizontes superiores, los peores representantes de nuestra familia ESARIMA comienzan a ser superados por los mejores marcos de referencia univariados. Al comparar con la encuesta de expectativas económicas, los resultados van en la dirección opuesta: la encuesta es más precisa que la subfamilia ESARIMA en todos los horizontes. En general nuestros resultados son estadísticamente significativos a niveles de confianza usuales. Observamos también que la familia ESARIMA ofrece proyecciones más estables que los marco de referencia univariados, pero menos estables que las provenientes de la encuesta de analistas.

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Bibliographic Info

Article provided by Fondo de Cultura Económica in its journal El Trimestre Económico.

Volume (Year): LXXIX (2012)
Issue (Month): 313 (enero-marzo)
Pages: 85-123

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Handle: RePEc:elt:journl:v:79:y:2012:i:313:p:85-123

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Web page: http://www.fondodeculturaeconomica.com/

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Related research

Keywords: Predicción de inflación; encuesta de expectativas; predicción fuera de muestra; evaluación predictiva; estacionalidad multiplicativa;

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Cited by:
  1. Pablo Pincheira B., 2014. "Predictive Evaluation of Sectoral and Total Employment Based on Entrepreneurial Confidence Indicators," Journal Economía Chilena (The Chilean Economy), Central Bank of Chile, Central Bank of Chile, vol. 12(1), pages 66-87, April.
  2. Pablo Pincheira & Carlos Medel, 2012. "Forecasting Inflation With a Random Walk," Working Papers Central Bank of Chile, Central Bank of Chile 669, Central Bank of Chile.
  3. Pablo Pincheira, 2011. "A Bunch of Models, a Bunch of Nulls and Inference About Predictive Ability," Working Papers Central Bank of Chile, Central Bank of Chile 607, Central Bank of Chile.
  4. Pablo Pincheira & Andrés Gatty, 2014. "Forecasting Chilean Inflation with International Factors," Working Papers Central Bank of Chile, Central Bank of Chile 723, Central Bank of Chile.
  5. Pablo Pincheira, 2012. "Are Forecast Combinations Efficient?," Working Papers Central Bank of Chile, Central Bank of Chile 661, Central Bank of Chile.
  6. Pablo Pincheira, 2012. "A Joint Test of Superior Predictive Ability for Chilean Inflation Forecasts," Journal Economía Chilena (The Chilean Economy), Central Bank of Chile, Central Bank of Chile, vol. 15(3), pages 04-39, December.

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