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Comparación de la capacidad predictiva de los modelos de coeficientes fijos frente a variables en los modelos econométricos regionales: un análisis para Cataluña

Listed author(s):

    (Grupo de Investigación Anàlisi Quantitativa Regional.Departamento de Econometría, Estadística y Economía Española. Facultad de Ciencias Económicas y Empresariales. Universidad de Barcelona)


    (Grupo de Investigación Anàlisi Quantitativa Regional. Departamento de Econometría, Estadística y Economía Española. Facultad de Ciencias Económicas y Empresariales Universidad de Barcelona)


    (Grupo de Investigación Anàlisi Quantitativa Regional. Departamento de Econometría, Estadística y Economía Española. Facultad de Ciencias Económicas y Empresariales. Universidad de Barcelona)

Durante las últimas décadas se ha producido un creciente interés en nuestro país en relación a las economías regionales dada la necesidad de los gobiernos regionales de obtener información sobre sus economías para así llevar a cabo actuaciones de política económica más efectivas y eficientes. En este marco, los modelos econométricos constituyen una herramienta de utilidad puesto que ofrecen información sobre las relaciones estructurales que se dan en una economía y permiten predecir su evolución. Sin embargo, la utilización de dichos modelos con finalidad predictiva se enfrenta al inconveniente de la elevada inestabilidad a corto plazo que se produce en las relaciones entre variables económicas a nivel regional. Por este motivo, en el presente trabajo se propone la utilización de un modelo de coeficientes variables para recoger dicha inestabilidad y mejorar las predicciones sobre la evolución de las variables del bloque de producción de la economía catalana. Para contrastar la mejora obtenida a partir de la aplicación de dicho modelo, se compara su capacidad predictiva con la de un modelo de coeficientes fijos. Los resultados muestran un mejor comportamiento del modelo de coeficientes variables frente al modelo de coeficientes fijos. During the last decades, there has been a growing interest in Spain in the issues related to regional economies. This interest is related to the need of regional governments to obtain information about their economies and act efficiently. In this context, econometric models are useful tools to offer information about the structural relationships of the economy and also to predict their evolution. However, the predictive capacity of these models is adversely affected by the potential instability of the relationships between economic variables at a regional level. For this reason, in this article we present a time-varying coefficient model to improve the predictions of an econometric model for the production block variables of the Catalan economy. To validate the proposed methodology preditions with a fixed coefficient model and with the varying coefficient one are compared. The results obtained show a better behaviour of the last one in changing situations for economic relationships.

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Article provided by Estudios de Economía Aplicada in its journal Estudios de Economía Aplicada.

Volume (Year): 15 (2000)
Issue (Month): (Agosto)
Pages: 125-162

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Handle: RePEc:lrk:eeaart:15_2_3
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