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Combinación de Pronósticos de la Inflación en Presencia de cambios Estructurales

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Author Info
Luis Fernando Melo ()
Héctor Núñez ()

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Abstract

En este trabajo se implementan diferentes metodologías de combinación de pronósticos para la inflación colombiana durante el período trimestral comprendido entre 1999:I y 2003:II. Los métodos de combinación propuestos permiten modelar cambios estructurales con el objeto de capturar el cambio de nivel de la inflación ocurrido en 1998 y 1999. Lo resultados obtenidos muestran que la metodología de Castaño y Melo (1998), que no considera cambios estructurales, sigue siendo apropiada para pronósticos de horizontes de 1,2 y 3 trimestres. Sin embargo, para horizontes mayores las metodologías de combinación que consideran cambios estructurales son las mejores, en el sentido de que tienen menor error cuadrático medio de predicción.

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Paper provided by Banco de la Republica de Colombia in its series Borradores de Economia with number 286.

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Handle: RePEc:bdr:borrec:286

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  1. Harrald, P. & Kamstra, M., 1995. "Evolving Artificial Neural Networks to Combine Financial Forecasts," Discussion Papers dp95-04, Department of Economics, Simon Fraser University.
  2. Fair, Ray C & Shiller, Robert J, 1989. "The Informational Context of Ex Ante Forecasts," The Review of Economics and Statistics, MIT Press, vol. 71(2), pages 325-31, May. [Downloadable!] (restricted)
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  3. Fang, Yue, 2003. "Forecasting combination and encompassing tests," International Journal of Forecasting, Elsevier, vol. 19(1), pages 87-94. [Downloadable!] (restricted)
  4. Francis X. Diebold & Jose A. Lopez, 1996. "Forecast Evaluation and Combination," NBER Technical Working Papers 0192, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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  5. Andrews, Donald W K & Ploberger, Werner, 1994. "Optimal Tests When a Nuisance Parameter Is Present Only under the Alternative," Econometrica, Econometric Society, vol. 62(6), pages 1383-1414, November. [Downloadable!] (restricted)
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  6. Luis Fernando Melo & Martha Misas, . "Análisis del Comportamiento de la Inflación Trimestral en Colombia Bajo Cambios de Régimen: Una Evidencia a Través del Modelo: "Switching" de Hamilton," Borradores de Economia 086, Banco de la Republica de Colombia. [Downloadable!]
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  7. Luis Fernando Melo & Martha Misas A., . "Modelos Estructurales de Inflación en Colombia: Estimación a Través de Mínimos Cuadrados Flexibles," Borradores de Economia 283, Banco de la Republica de Colombia. [Downloadable!]
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  8. Harvey, David I & Leybourne, Stephen J & Newbold, Paul, 1998. "Tests for Forecast Encompassing," Journal of Business & Economic Statistics, American Statistical Association, vol. 16(2), pages 254-59, April.
  9. Coulson, N.E. & Robins, R.P., 1989. "Forecast Combination In A Dynamic Setting," Papers 8-88-4, Pennsylvania State - Department of Economics.
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  12. Diebold, Francis X. & Chen, Celia, 1996. "Testing structural stability with endogenous breakpoint A size comparison of analytic and bootstrap procedures," Journal of Econometrics, Elsevier, vol. 70(1), pages 221-241, January. [Downloadable!] (restricted)
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  13. Kalaba, R. & Tesfatsion, Leigh S., 2004. "Flexible Least Squares for Approximately Linear Systems," Staff General Research Papers 11190, Iowa State University, Department of Economics.
  14. Clemen, Robert T., 1989. "Combining forecasts: A review and annotated bibliography," International Journal of Forecasting, Elsevier, vol. 5(4), pages 559-583. [Downloadable!] (restricted)
  15. Michael P. Clements & David F. Hendry, 2001. "Forecasting Non-Stationary Economic Time Series," MIT Press Books, The MIT Press, edition 1, volume 1, number 0262531895.
  16. Scott Schuh, 2001. "An evaluation of recent macroeconomic forecast errors," New England Economic Review, Federal Reserve Bank of Boston, pages 35-56. [Downloadable!]
  17. Diebold, Francis X & Mariano, Roberto S, 1995. "Comparing Predictive Accuracy," Journal of Business & Economic Statistics, American Statistical Association, vol. 13(3), pages 253-63, July.
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  18. Bruce E. Hansen, 1995. "Approximate Asymptotic P-Values for Structural Change Tests," Boston College Working Papers in Economics 297., Boston College Department of Economics. [Downloadable!]
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  19. Kalaba, R. & Tesfatsion, Leigh S., 2004. "Time-Varying Linear Regression Via Flexible Least Squares," Staff General Research Papers 11196, Iowa State University, Department of Economics.
  20. Fair, Ray C & Shiller, Robert J, 1990. "Comparing Information in Forecasts from Econometric Models," American Economic Review, American Economic Association, vol. 80(3), pages 375-89, June. [Downloadable!] (restricted)
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(explanations, 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.)

  1. Luis Eduardo Arango & Luz Adriana Flórez, . "Expectativas de Actividad Económica en Colombia y Estructura a Plazo: Un Poco más de Evidencia," Borradores de Economia 302, Banco de la Republica de Colombia. [Downloadable!]
  2. Andrés Langebaek & Eliana González M., 2007. "Inflación Y Precios Relativos En Colombia," BORRADORES DE ECONOMIA 004249, BANCO DE LA REPÚBLICA. [Downloadable!]
    Other versions:
  3. Eliana González Molano & Luis Fernando Melo Velandia & Anderson Grajales Olarte, . "Pronósticos directos de la inflación colombiana," Borradores de Economia 458, Banco de la Republica de Colombia. [Downloadable!]
    Other versions:
  4. Eliana González & Miguel I. Gómez & Luis F. Melo & José Luis Torres, 2006. "Forecasting Food Price Inflation in Developing Countries with Inflation Targeting Regimes: the Colombian Case," BORRADORES DE ECONOMIA 002735, BANCO DE LA REPÚBLICA. [Downloadable!]
  5. Andrés Langebaek R. & Eliana González Molano, . "Inflación Y Precios Relativos En Colombia," Borradores de Economia 459, Banco de la Republica de Colombia. [Downloadable!]
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