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El sistema de predicción desagregada: Una evaluación de las proyecciones de inflación 2006-2011

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  • Barrera, Carlos

    (Banco Central de Reserva del Perú)

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    Abstract

    El presente estudio describe las características del Sistema de Predicción Desagregada (SPD) en el marco de la literatura y presenta los resultados de una evaluación de sus capacidades predictivas en términos de las variaciones del índice de precios al consumidor de Lima Metropolitana (IPC), del índice de precios subyacente y de su complemento, el índice de precios no subyacente para el periodo julio 2006 - mayo 2011. La evaluación ex post considera las diferencias no sólo entre las principales especificaciones multi-ecuacionales en el SPD sino también respecto a un modelo auto-regresivo uni-ecuacional para el (sub-)agregado que corresponda. Esta evaluación se realiza en dos versiones: (1) la versión estática de la evaluación, que calcula la raíz del error cuadrático medio (RECM) sobre la base de la muestra completa de errores de predicción para cada horizonte h, RECM(h), y (2) la versión dinámica de la evaluación, que la calcula sobre la base de sub-muestras de errores para un horizonte h prefijado en ventanas móviles de ancho fijo con el periodo τ como cota superior, RECM(τ; h prefijado). En línea con la literatura, la evaluación ex post estática muestra la conveniencia de desagregar y predecir con modelos multi-ecuacionales frente a la alternativa de no desagregar y predecir con modelos uni-ecuacionales. El principal resultado de la evaluación ex post dinámica es la presencia de cruces en su evolución temporal, en los que un grupo de modelos con un buen [no tan buen] desempeño previo pasa luego a tener uno no tan bueno [bueno] (Aiolfi & Timmermann (2006)), lo que justifica el uso de proyecciones combinadas.

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    Bibliographic Info

    Paper provided by Banco Central de Reserva del Perú in its series Working Papers with number 2013-009.

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    Date of creation: Jul 2013
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    Handle: RePEc:rbp:wpaper:2013-009

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    Keywords: Modelos de series de tiempo; construcción y evaluación de modelos; predicción;

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