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Underlying Inflation in Colombia: a common stochastic trend approach associated with structural restriction vectorial error correction model (SVEC)

Author

Listed:
  • Martha Misas

    () (Banco de la República de Colombia)

  • Enrique López

    () (Banco de la República de Colombia)

  • Juana Téllez

    () (Banco de la República de Colombia)

  • José Fernando Escobar

Abstract

In this article the underlying inflation is estimated by means of a common stochastic trend scheme associated with a structural restriction vectorial error correction model (SVEC). The estimation possesses the desired characteristic concerning variance and it's related with the behavior of observed inflation. With the objective of proving the advantages of this methodology, two forecast series are calculated for inflation and underlying inflation with their respective confidence intervals; through bootstrappingtechniques based on two randomly selected sampling lenghts.

Suggested Citation

  • Martha Misas & Enrique López & Juana Téllez & José Fernando Escobar, 2005. "Underlying Inflation in Colombia: a common stochastic trend approach associated with structural restriction vectorial error correction model (SVEC)," Lecturas de Economía, Universidad de Antioquia, Departamento de Economía, issue 63, pages 187-230, Julio-Dic.
  • Handle: RePEc:lde:journl:y:2005:i:63:p:187-230
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    More about this item

    Keywords

    underlying inflation; bootstrap methods;

    JEL classification:

    • E31 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Price Level; Inflation; Deflation
    • C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General

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