Un sistema ARIMA con agregación temporal para la previsión y el seguimiento del déficit del Estado
AbstractOur aim is to develop a temporal aggregation ARIMA model to monitor and forecast the annual Spanish central government deficit in order to detect in advance a possible deterioration of the annual public sector balance, using monthly data. We compare the predictive performance of the proposed model with competing forecasting methods, such as annual forecasts directly derived from monthly ARIMA models, and official forecasts published by the government. The results confirm the large improvement in forecasting performance of the aggregated ARIMA system when compared to other alternatives.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoArticle provided by IEF in its journal Hacienda Pública Española/Revista de Economía Pública.
Volume (Year): 190 (2009)
Issue (Month): 3 (June)
Fiscal forecasting; time series analysis; monitoring; forecasting; public deficit;
Find related papers by JEL classification:
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models &bull Diffusion Processes
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
- H68 - Public Economics - - National Budget, Deficit, and Debt - - - Forecasts of Budgets, Deficits, and Debt
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Andrea Silvestrini & Matteo Salto & Laurent Moulin & David Veredas, 2008.
"Monitoring and forecasting annual public deficit every month: the case of France,"
Springer, vol. 34(3), pages 493-524, June.
- SILVESTRINI, Andrea & SALTo, Matteo & MOULIN, Laurent & VEREDAS, David, . "Monitoring and forecasting annual public deficit every month: the case of France," CORE Discussion Papers RP -2019, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Pedregal, Diego J. & Pérez, Javier J., 2010.
"Should quarterly government finance statistics be used for fiscal surveillance in Europe?,"
International Journal of Forecasting,
Elsevier, vol. 26(4), pages 794-807, October.
- Pedregal, Diego J. & Pérez, Javier J., 2008. "Should quarterly government finance statistics be used for fiscal surveillane in Europe?," Working Paper Series 0937, European Central Bank.
- Onorante, Luca & Pedregal, Diego J. & Pérez, Javier J. & Signorini, Sara, 2008.
"The usefulness of infra-annual government cash budgetary data for fiscal forecasting in the euro area,"
Working Paper Series
0901, European Central Bank.
- Onorante, Luca & Pedregal, Diego J. & Pérez, Javier J. & Signorini, Sara, 2010. "The usefulness of infra-annual government cash budgetary data for fiscal forecasting in the euro area," Journal of Policy Modeling, Elsevier, vol. 32(1), pages 98-119, January.
- Perez, Javier J., 2007. "Leading indicators for euro area government deficits," International Journal of Forecasting, Elsevier, vol. 23(2), pages 259-275.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Olga Cantó Sánchez) The email address of this maintainer does not seem to be valid anymore. Please ask Olga Cantó Sánchez to update the entry or send us the correct address.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.