Proyección Agregada y Desagregada del PIB Chileno con Procedimientos Automatizados de Series de Tiempo
AbstractThis paper compares the out-of-sample error of two forecasting methods for Chile’s GDP. The first method forecasts the aggregate GDP, while the second aggregates the forecasts of the supply-side components. As forecasting method we use the automatic model selection contained in the seasonal adjustment program X12-ARIMA version 0.2.10. Our sample includes the information contained in the first data release until 2009.I. For the whole sample, this paper finds no significant difference between both methods, according to tests commonly used in this literature. However, in periods of low GDP volatility the aggregate method performs better in terms of root mean squared error, while the disaggregate approach outperforms the aggregate one in periods of high GDP volatility.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoPaper provided by Central Bank of Chile in its series Working Papers Central Bank of Chile with number 577.
Date of creation: May 2010
Date of revision:
This paper has been announced in the following NEP Reports:
- NEP-ALL-2011-04-23 (All new papers)
You can help add them by filling out this form.
CitEc Project, subscribe to its RSS feed for this item.
- Medel, Carlos A., 2012.
"How informative are in-sample information criteria to forecasting? the case of Chilean GDP,"
35949, University Library of Munich, Germany.
- Carlos A. Medel, 2013. "How informative are in-sample information criteria to forecasting? The case of Chilean GDP," Latin American Journal of Economics-formerly Cuadernos de Economía, Instituto de Economía. Pontificia Universidad Católica de Chile., vol. 50(1), pages 133-161, May.
- Carlos Medel, 2012. "How Informative are In–Sample Information Criteria to Forecasting? The Case of Chilean GDP," Working Papers Central Bank of Chile 657, Central Bank of Chile.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Claudio Sepulveda).
If references are entirely missing, you can add them using this form.