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A Dynamic Factor Model For The Colombian Inflation

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  • Eliana González

    ()

  • Luis F. Melo

    ()

  • Viviana Monroy

    ()

  • Brayan Rojas

Abstract

ABSTRACT. We use a dynamic factor model proposed by Stock and Watson [1998, 1999,2002a,b] to forecast Colombian inflation. The model includes 92 monthly series observedover the period 1999:01-2008:06. The results show that for short-run horizons, factor modelforecasts significantly outperformed the auto-regressive benchmark model in terms of theroot mean squared forecast error statistic.

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Bibliographic Info

Paper provided by BANCO DE LA REPÚBLICA in its series BORRADORES DE ECONOMIA with number 005273.

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Length: 87
Date of creation: 09 Feb 2009
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Handle: RePEc:col:000094:005273

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Keywords: Dynamic factor models; static factor models; forecast accuracy.;

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Citations

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Cited by:
  1. Eliana González, 2010. "Bayesian Model Averaging. An Application to Forecast Inflation in Colombia," BORRADORES DE ECONOMIA 007015, BANCO DE LA REPÚBLICA.
  2. Eliana González, 2010. "Bayesian Model Averaging. An Application to Forecast Inflation in Colombia," BORRADORES DE ECONOMIA 007014, BANCO DE LA REPÚBLICA.
  3. Eliana González, . "Bayesian Model Averaging. An Application to Forecast Inflation in Colombia," Borradores de Economia 604, Banco de la Republica de Colombia.
  4. Eliana González, 2011. "Forecasting With Many Predictors. An Empirical Comparison," BORRADORES DE ECONOMIA 007996, BANCO DE LA REPÚBLICA.
  5. Eliana González, 2010. "Bayesian Model Averaging. An Application to Forecast Inflation in Colombia," BORRADORES DE ECONOMIA 007013, BANCO DE LA REPÚBLICA.
  6. Andrés Felipe Londoño & Jorge Andrés Tamayo & Carlos Alberto Velásquez, 2012. "Dinámica de la política monetaria e inflación objetivo en Colombia: una aproximación FAVAR," ENSAYOS SOBRE POLÍTICA ECONÓMICA, BANCO DE LA REPÚBLICA - ESPE, BANCO DE LA REPÚBLICA - ESPE.
  7. Eliana González, . "Forecasting With Many Predictors. An Empirical Comparison," Borradores de Economia 643, Banco de la Republica de Colombia.

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