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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- Andrea Silvestrini & Matteo Salto & Laurent Moulin & David Veredas, 2008.
"Monitoring and forecasting annual public deficit every month: the case of France,"
Springer, vol. 34(3), pages 493-524, June.
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- 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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- Perez, Javier J., 2007. "Leading indicators for euro area government deficits," International Journal of Forecasting, Elsevier, vol. 23(2), pages 259-275. Full references (including those not matched with items on IDEAS)
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