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Una metodología multivariada de desagregación temporal

Author

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  • Jorge Luis Hurtado Guarín
  • Luis Fernando Melo Velandia

Abstract

En este artículo se propone una extensión de la metodología multivariada de desagregación temporal de Di Fonzo [1990]. Esta supone que los errores de las series de alta frecuencia siguen un modelo VAR(1) en lugar de un proceso ruido blanco. Adicionalmente, se realiza una reseña de diferentes métodos de desagregación, tanto univariados como multivariados, incluyendo sus principales ventajas y desventajas. Finalmente, se lleva a cabo una aplicación multivariada para obtener las cuentas nacionales colombianas mensuales a partir de datos trimestrales

Suggested Citation

  • Jorge Luis Hurtado Guarín & Luis Fernando Melo Velandia, 2010. "Una metodología multivariada de desagregación temporal," Borradores de Economia 586, Banco de la Republica de Colombia.
    • Handle: RePEc:bdr:borrec:586
    DOI: 10.32468/be.586
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    Cited by:

    1. Pavel Vidal Alejandro & Lya Paola Sierra Suárez & Johana Sanabria Dominguez & Jaime Andres Collazos Rodríguez, 2015. "Indicador mensual de actividad económica (IMAE) para el Valle del Cauca," Borradores de Economia 900, Banco de la Republica de Colombia.

    More about this item

    Keywords

    Desagregación temporal; restricciones de agregación temporales y contemporáneas;

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
    • E01 - Macroeconomics and Monetary Economics - - General - - - Measurement and Data on National Income and Product Accounts and Wealth; Environmental Accounts

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