Un sistema ARIMA con agregación temporal para la previsión y el seguimiento del déficit del Estado
Our aim is to develop a temporal aggregation ARIMA model to monitor and forecast the annual Spanish central government deficit in order to detect in advance a possible deterioration of the annual public sector balance, using monthly data. We compare the predictive performance of the proposed model with competing forecasting methods, such as annual forecasts directly derived from monthly ARIMA models, and official forecasts published by the government. The results confirm the large improvement in forecasting performance of the aggregated ARIMA system when compared to other alternatives.
Volume (Year): 190 (2009)
Issue (Month): 3 (June)
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- Onorante, Luca & Pedregal, Diego J. & Pérez, Javier J. & Signorini, Sara, 2008.
"The usefulness of infra-annual government cash budgetary data for fiscal forecasting in the euro area,"
Working Paper Series
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- Pedregal, Diego J. & Pérez, Javier J., 2008.
"Should quarterly government finance statistics be used for fiscal surveillane in Europe?,"
Working Paper Series
0937, European Central Bank.
- Pedregal, Diego J. & Pérez, Javier J., 2010. "Should quarterly government finance statistics be used for fiscal surveillance in Europe?," International Journal of Forecasting, Elsevier, vol. 26(4), pages 794-807, October.
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"Monitoring and forecasting annual public deficit every month: the case of France,"
CORE Discussion Papers RP
2019, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Andrea Silvestrini & Matteo Salto & Laurent Moulin & David Veredas, 2008. "Monitoring and forecasting annual public deficit every month: the case of France," Empirical Economics, Springer, vol. 34(3), pages 493-524, June.
- Perez, Javier J., 2007. "Leading indicators for euro area government deficits," International Journal of Forecasting, Elsevier, vol. 23(2), pages 259-275.
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