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

Listed author(s):
  • 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.

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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

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Handle: RePEc:elt:journl:v:79:y:2012:i:313:p:85-123
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