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Métodos Bayesianos para la proyección de variables macroeconómicas en Uruguay

Author

Listed:
  • Nicolás Arroyo

    (Banco Central del Uruguay)

  • German Cubas

    (Departamento de Economía, Universidad Catolica del Uruguay)

Abstract

Este trabajo presenta un modelo econometrico multivariado para la proyección de variables macroeconomicas en Uruguay. Usando tecnicas de la econometria Bayesiana se estima un modelo de vectores autoregresivos (BVAR) el cual es usado para predecir el Producto Bruto Interno. Cuando se realiza prediccion dentro de la muestra el modelo tiene un buen desempeño predictivo medido este por medio de la raiz cuadrada del error cuadrático medio y el estadistico U de Theil. El modelo proyecta un crecimiento promedio del PIB de 5.8% para el ano 2011. Para el 2012 se proyecta un crecimiento de 3.4% en promedio, y una probabilidad de crecimiento menor o igual a cero de 27.7%.

Suggested Citation

  • Nicolás Arroyo & German Cubas, 2011. "Métodos Bayesianos para la proyección de variables macroeconómicas en Uruguay," Documentos de trabajo 2011014, Banco Central del Uruguay.
    • Handle: RePEc:bku:doctra:2011014
    as

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    File URL: https://www.bcu.gub.uy/Estadisticas-e-Indicadores/Documentos%20de%20Trabajo/14.2011.pdf
    File Function: First version, 2011
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    References listed on IDEAS

    as
    1. Sims, Christopher A, 1980. "Macroeconomics and Reality," Econometrica, Econometric Society, vol. 48(1), pages 1-48, January.
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