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Combinacion de pronosticos y variables predictoras con error

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  • Castaño Velez, Elkin

Abstract

Este documento discute algunos métodos para obtener pronósticos mejorados a partir de la combinación de las predicciones generadas por diferentes modelos. Además presenta un estudio de simulación para comparar en el corto, mediano y el largo plazo, el comportamiento del pronóstico combinado de un modelo econométrico y de un modelo arima con los pronósticos individuales de cada modelo, cuando los valores futuros de las predictoras del modelo eco no métrico contienen errores de diferentes magnitudes. Se concluye que con excepción al caso en el cual los valores futuros de las variables predictoras tienen grandes errores, el procedimiento de la mezcla de pronósticos generó predicciones más precisas en el corto, mediano y largo plazo.

Suggested Citation

  • Castaño Velez, Elkin, 1994. "Combinacion de pronosticos y variables predictoras con error," Lecturas de Economía, Universidad de Antioquia, Departamento de Economía, issue 41, pages 59-80, Julio Dic.
  • Handle: RePEc:lde:journl:y:1994:i:41:p:59-80
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    Cited by:

    1. Elkin Castaño V. & Luis Fernando Melo Velandia, 1998. "Métodos De Combinación De Pronósticos:Una Aplicación A La Inflación Colombiana," BORRADORES DE ECONOMIA 003212, BANCO DE LA REPÚBLICA.

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