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Evaluación de pronóstico de una red neuronal sobre el PIB en Colombia

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  • José Mauricio Salazar Sáenz

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    Abstract

    Las redes neuronales artificiales han mostrado ser modelos robustos para dar cuenta del comportamiento de diferentes variables. En el presente trabajo se emplean para modelar la relación no lineal del crecimiento del PIB. Tres modelos son considerados: dos autoregresivos (especificación lineal y no lineal) y una red neuronal que usa la tasa de interés. Evaluando el desempeño de los modelos dentro y fuera de muestra, los pronósticos realizados por las redes neuronales artificiales superan ampliamente a los modelos lineales, siendo esta evidencia de relaciones asimétricas en el comportamiento del PIB en Colombia.

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    Bibliographic Info

    Paper provided by Banco de la Republica de Colombia in its series Borradores de Economia with number 575.

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    Handle: RePEc:bdr:borrec:575

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    Keywords: Red neuronal artificial; no linealidad; PIB; Rolling de pronóstico; evaluación de pronóstico. Classification JEL: C45; C53; E17; E23.;

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    1. James H. Stock & Mark W.Watson, 2003. "Forecasting Output and Inflation: The Role of Asset Prices," Journal of Economic Literature, American Economic Association, American Economic Association, vol. 41(3), pages 788-829, September.
    2. Christopher A. Sims, 1980. "Comparison of Interwar and Postwar Business Cycles: Monetarism Reconsidered," NBER Working Papers 0430, National Bureau of Economic Research, Inc.
    3. Carmen M Reinhart & Vincent R Reinhart, 1991. "Fluctuaciones Del Producto Y Choque Monetarios: Evidencia Colombiana," ENSAYOS SOBRE POLÍTICA ECONÓMICA, BANCO DE LA REPÚBLICA - ESPE, BANCO DE LA REPÚBLICA - ESPE.
    4. Munir A. Jalil. B & Martha Misas, 2006. "Evaluación de pronósticos del tipo de cambio utilizando," BORRADORES DE ECONOMIA 002636, BANCO DE LA REPÚBLICA.
    5. Franses,Philip Hans & Dijk,Dick van, 2000. "Non-Linear Time Series Models in Empirical Finance," Cambridge Books, Cambridge University Press, Cambridge University Press, number 9780521770415.
    6. 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.
    7. Hendry, David F., 1995. "Dynamic Econometrics," OUP Catalogue, Oxford University Press, Oxford University Press, number 9780198283164, October.
    8. Martha Misas & Enrique López & Carlos Arango & Juan Nicolás Hernández, . "La Demanda de Efectivo en Colombia: Una Caja Negra a la Luz de las Redes Neuronales," Borradores de Economia 268, Banco de la Republica de Colombia.
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