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Un Pronóstico No Paramétrico De La Inflación Colombiana

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Author Info
Norberto Rodríguez ()
Patricia Siado
Abstract

En este trabajo se presentan los resultados de un ejercicio de pronóstico no paramétrico múltiples pasos adelante para la inflación colombiana mensual. En particular, se usa estimación Kernel para la media condicional de los cambios de la inflación dada su propia historia. Los resultados de pronóstico se comparan con un modelo ARIMA estacional y un modelo tipo STAR. Se encuentra que, excepto para el pronóstico un mes adelante, el pronóstico no parametrito mejora a las otras dos metodologías que le compiten; además, de entre las tres alternativas consideradas el no paramétrico es el único pronóstico que estadísticamente mejora al pronóstico que se hace con un modelo de caminata aleatoria.

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Paper provided by BANCO DE LA REPÚBLICA in its series BORRADORES DE ECONOMIA with number 003691.

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Length: 49
Date of creation: 30 Jun 2003
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Handle: RePEc:col:000094:003691

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  1. Johnston, Gordon J., 1982. "Probabilities of maximal deviations for nonparametric regression function estimates," Journal of Multivariate Analysis, Elsevier, vol. 12(3), pages 402-414, September. [Downloadable!] (restricted)
  2. Munir A. Jalil & Luis Fernando Melo, . "Una Relación no Líneal entre Inflación y los Medios de Pago," Borradores de Economia 145, Banco de la Republica de Colombia. [Downloadable!]
  3. Siegfried Heiler, 1999. "A Survey on Nonparametric Time Series Analysis," Finance 9904005, EconWPA. [Downloadable!]
  4. Martha Misas & Enrique López & Pablo Querubín, . "La Inflación en Colombia: Una Aproximación desde las Redes Neuronales," Borradores de Economia 199, Banco de la Republica de Colombia. [Downloadable!]
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  5. Jan G. de Gooijer & Dawit Zerom, 1999. "Kernel-based Multistep-ahead Predictions of the US Short-term Interest Rate," Tinbergen Institute Discussion Papers 99-015/4, Tinbergen Institute.
  6. W. H"Ardle & L. Yang, . "Nonparametric Time Series Model Selection," Sonderforschungsbereich 373 1996-53, Humboldt Universitaet Berlin.
  7. Siegfried Heiler, 1999. "A Survey on Nonparametric Time Series Analysis," CoFE Discussion Paper 99-05, Center of Finance and Econometrics, University of Konstanz. [Downloadable!]
  8. W. H"Ardle & H. L"Utkepohl & R. Chen, . "A Review of Nonparametric Time Series Analysis," Sonderforschungsbereich 373 1996-48, Humboldt Universitaet Berlin.
  9. Diebold, Francis X & Mariano, Roberto S, 1995. "Comparing Predictive Accuracy," Journal of Business & Economic Statistics, American Statistical Association, vol. 13(3), pages 253-63, July.
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