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Pronósticos directos de la inflación colombiana

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  • Eliana González Molano

    ()

  • Luis Fernando Melo Velandia

    ()

  • Anderson Grajales Olarte

    ()

Abstract

En países como Colombia en donde se sigue una estrategia de inflación objetivo es fundamental para el Banco Central contar con buenos modelos para pronosticar la inflación. En este documento se comparan los pronósticos de inflación obtenidos a partir de un modelo de Curva de Phillips usando dos metodologías diferentes: pronósticos directos y pronósticos iterativos (tradicionales) para una muestra trimestral entre 1988 y 2007. Los pronósticos directos están basados en estimaciones OLS, mientras que los iterativos lo están en estimaciones tanto por OLS como por mínimos cuadrados flexibles. Los resultados encontrados muestran que al utilizar el mismo método de estimación, OLS, el error de pronóstico de la metodología directa es menor que el de la iterativa en el mediano plazo. Sin embargo, los pronósticos iterativos generados con la metodología de mínimos cuadrados flexibles superan a los directos - OLS.

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Paper provided by Banco de la Republica de Colombia in its series Borradores de Economia with number 458.

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Handle: RePEc:bdr:borrec:458

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Keywords: Pronósticos directos; pronósticos iterativos; mínimos cuadrados flexibles. Classification JEL: C53; E31; E37;

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References

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  1. David Hendry & Guillaume Chevillon, 2004. "Non-Parametric Direct Multi-step Estimation for Forecasting Economic Processes," Economics Series Working Papers, University of Oxford, Department of Economics 196, University of Oxford, Department of Economics.
  2. Luis Fernando Melo Velandia & Héctor M. Núñez Amortegui, 2004. "Combinación de pronósticos de la inflación en presencia de cambios estructurales," BORRADORES DE ECONOMIA 002153, BANCO DE LA REPÚBLICA.
  3. Martha Misas Arango & Enrique López Enciso & Pablo Querubín, 2002. "La Inflación En Colombia: Una Aproximación Desde Las Redes Neuronales," ENSAYOS SOBRE POLÍTICA ECONÓMICA, BANCO DE LA REPÚBLICA - ESPE, BANCO DE LA REPÚBLICA - ESPE.
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  11. Johnston, H N, 1974. "A Note on the Estimation and Prediction Inefficiency of "Dynamic" Estimators," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 15(1), pages 251-55, February.
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  14. Martha Misas & Enrique López & Luis Fernando Melo, . "La Inflación desde una Perspectiva Monetaria: Un Modelo P* para Colombia," Borradores de Economia 133, Banco de la Republica de Colombia.
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Cited by:
  1. Paulo Mauricio Sánchez Beltrán & Luis Fernando Melo Velandia, 2013. "Combinación de brechas del producto colombiano," Borradores de Economia 775, Banco de la Republica de Colombia.

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