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Combinación de Pronósticos de la Inflación en Presencia de cambios Estructurales

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  • Luis Fernando Melo

    ()

  • Héctor Núñez

    ()

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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Citations

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Cited by:
  1. Eliana González, 2010. "Bayesian Model Averaging. An Application to Forecast Inflation in Colombia," BORRADORES DE ECONOMIA 007014, BANCO DE LA REPÚBLICA.
  2. Eliana González & Luis F. Melo & Viviana Monroy & Brayan Rojas, 2009. "A Dynamic Factor Model For The Colombian Inflation," BORRADORES DE ECONOMIA 005273, BANCO DE LA REPÚBLICA.
  3. Gomez, Miguel I. & Gonzalez, Eliana & Melo, Luis F. & Torres, Jose L., 2006. "Forecasting Food Price Inflation, Challenges for Central Banks in Developing Countries using an Inflation Targeting Framework: the Case of Colombia," 2006 Annual meeting, July 23-26, Long Beach, CA, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association) 21181, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
  4. Santiago Cajiao Raigosa & Luis Fernando Melo Velandia & Daniel Parra Amado, 2014. "Pronósticos para una economía menos volátil: El caso colombiano," BORRADORES DE ECONOMIA 011252, BANCO DE LA REPÚBLICA.
  5. Luis Fernando Melo & Rubén Albeiro Loaiza Maya, 2012. "Bayesian Forecast Combination for Inflation Using Rolling Windows: An Emerging Country Case," BORRADORES DE ECONOMIA 009511, BANCO DE LA REPÚBLICA.
  6. Eliana González, . "Forecasting With Many Predictors. An Empirical Comparison," Borradores de Economia 643, Banco de la Republica de Colombia.
  7. Eliana González, . "Bayesian Model Averaging. An Application to Forecast Inflation in Colombia," Borradores de Economia 604, Banco de la Republica de Colombia.
  8. 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.
  9. 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.
  10. Luis Eduardo Arango & Luz Adriana Flórez, 2004. "Expectativas De Actividad Económica En Colombia Y Estructura A Plazo: Un Poco Más De Evidencia," ENSAYOS SOBRE POLÍTICA ECONÓMICA, BANCO DE LA REPÚBLICA - ESPE, BANCO DE LA REPÚBLICA - ESPE.
  11. Eliana González, 2010. "Bayesian Model Averaging. An Application to Forecast Inflation in Colombia," BORRADORES DE ECONOMIA 007015, BANCO DE LA REPÚBLICA.
  12. Andrés Langebaek & Eliana González M., 2007. "Inflación Y Precios Relativos En Colombia," BORRADORES DE ECONOMIA 004248, BANCO DE LA REPÚBLICA.
  13. Eliana González, 2011. "Forecasting With Many Predictors. An Empirical Comparison," BORRADORES DE ECONOMIA 007996, BANCO DE LA REPÚBLICA.
  14. Andrés Langebaek R. & Eliana González Molano, . "Inflación Y Precios Relativos En Colombia," Borradores de Economia 459, Banco de la Republica de Colombia.
  15. Eliana González, 2010. "Bayesian Model Averaging. An Application to Forecast Inflation in Colombia," BORRADORES DE ECONOMIA 007013, BANCO DE LA REPÚBLICA.

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