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Pronósticos del PIB mediante modelos de factores dinámicos

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  • Juan Carlos Carlo Santos

    (Banco Central de Bolivia)

Abstract

El Instituto Nacional de Estadística de Bolivia publica los datos del Producto Interno Bruto con un retraso de entre tres y cuatro meses, reduciendo así el margen de acción de los responsables de la política económica frente a cambios imprevistos de esta variable. Ante esta necesidad, el presente documento apunta a tener estimaciones tempranas de este agregado macroeconómico mediante el uso de modelos de factores dinámicos propuestos por Stock y Watson (1988). Las series de datos incluidas en el modelo corresponden a variables relacionadas con los sectores financiero, monetario, real, y externo, incluso variables de precios. Los resultados obtenidos muestran que las estimaciones, a través de esta metodología, son más robustas en comparación con los modelos univariados y multivariados en las evaluaciones tanto dentro como fuera de la muestra.

Suggested Citation

  • Juan Carlos Carlo Santos, 2019. "Pronósticos del PIB mediante modelos de factores dinámicos," Revista de Análisis del BCB, Banco Central de Bolivia, vol. 30(1), pages 125-174, January -.
    • Handle: RePEc:blv:journl:v:30:y:2019:i:1:p:125-174
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    References listed on IDEAS

    as
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    Full references (including those not matched with items on IDEAS)

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    Keywords

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    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
    • E23 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment - - - Production

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