IDEAS home Printed from https://ideas.repec.org/
MyIDEAS: Login to save this article or follow this journal

En busca de un buen marco de referencia predictivo para la inflación en Chile

  • Pincheira, Pablo

    (Banco Central de Chile)

  • García, Álvaro

    (Universidad de California, Los Ángeles)

In this article we analyze the accuracy and stability of short-run inflation forecasts for Chile coming from Extended Seasonal Arima (ESARIMA) models. We compare ESARIMA forecasts to those coming from surveys and traditional time series bench- marks available in the literature. Our results show that ESARIMA based forecasts display lower out-of-sample Mean Squared Prediction Error than forecasts coming from traditional benchmarks when the predictive horizon ranges from 1 to 4 months. At longer horizons, the worst models from the ESARIMA family are outperformed by the best univariate traditional benchmarks. We obtain opposite results when compar-ing ESARIMA outcomes to survey-based forecasts: the survey provides more accurate forecasts at every single horizon. Our results are, in general, statistically significant at usual confidence levels. We also notice that ESARIMA forecasts are more stable than traditional time series methods but less stable than survey-based forecasts.// En este artículo investigamos la precisión y estabilidad de las proyecciones de corto plazo de la inflación en Chile provenientes de una determinada subfamilia extendida de modelos SARIMA que denominamos ESARIMA. Las proyecciones ESARIMA son comparadas con las provenientes de encuestas y de simples modelos univariados, incluyendo algunos que han sido tradicionalmente utilizados como marcos de referencia predictivos en la bibliografía. Nuestros resultados indican que el error cuadrático medio fuera de muestra de las proyecciones ESARIMA es menor que el de los métodos univariados considerados, cuando el horizonte predictivo varía de 1 a 4 meses. En horizontes superiores, los peores representantes de nuestra familia ESARIMA comienzan a ser superados por los mejores marcos de referencia univariados. Al comparar con la encuesta de expectativas económicas, los resultados van en la dirección opuesta: la encuesta es más precisa que la subfamilia ESARIMA en todos los horizontes. En general nuestros resultados son estadísticamente significativos a niveles de confianza usuales. Observamos también que la familia ESARIMA ofrece proyecciones más estables que los marco de referencia univariados, pero menos estables que las provenientes de la encuesta de analistas.

To our knowledge, this item is not available for download. To find whether it is available, there are three options:
1. Check below under "Related research" whether another version of this item is available online.
2. Check on the provider's web page whether it is in fact available.
3. Perform a search for a similarly titled item that would be available.

Article provided by Fondo de Cultura Económica in its journal El Trimestre Económico.

Volume (Year): LXXIX (2012)
Issue (Month): 313 (enero-marzo)
Pages: 85-123

as
in new window

Handle: RePEc:elt:journl:v:79:y:2012:i:313:p:85-123
Contact details of provider: Web page: http://www.fondodeculturaeconomica.com/

Order Information: Postal: Order print issues directly in our web page or with Guadalupe Galicia at Fondo de Cultura Económica, El Trimestre Económico, Carretera Picacho Ajusco 227, 6° piso,Col. Bosques del Pedregal, CP 14738, Tlalpan, Distrito Federal, México
Web: http://www.eltrimestreeconomico.com/ Email:


No references listed on IDEAS
You can help add them by filling out this form.

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

When requesting a correction, please mention this item's handle: RePEc:elt:journl:v:79:y:2012:i:313:p:85-123. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Rosa María González Mejía)

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.

This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.