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lndicadores líderes, redes neuronales y predicción de corto plazo


  • Javier Kapsoli Salinas

    () (Pontificia Universidad Católica del Perú - Departamento de economía)

  • Brigitt Bencich Aguilar

    () (Consultora de la Dirección General de Asuntos Económicos, Ministerio de Economía y Finanzas)


This paper shows a procedure to constmct a short run predictor for the GDP. We use the Baxter & King filter to decompose the monthly GDP on its three components: seasonal, business cycle and iong-run trend. Furthermore we estimate and forecast the business cycle using a set of leading economic variables. We propose that the complicated relationships among this variables and the business cycle are well captured by a non linear artificial neural network model. The other components are estimated using standard econometric techniques. Finally, the three components are added to obtain an indicator for the future behavior of the GDP. The prediction shows an aceptable leve1 of reliability, so the index can be used to take decisions in the private or public sector. The main advantage of the index is its faster availability relative to the oficial statistics.

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  • Javier Kapsoli Salinas & Brigitt Bencich Aguilar, 2004. "lndicadores líderes, redes neuronales y predicción de corto plazo," Revista Economía, Fondo Editorial - Pontificia Universidad Católica del Perú, issue 53-54, pages 213-254.
  • Handle: RePEc:pcp:pucrev:y:2005:i:53-54:p:213-254

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    1. Johansen, Soren & Juselius, Katarina, 1990. "Maximum Likelihood Estimation and Inference on Cointegration--With Applications to the Demand for Money," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 52(2), pages 169-210, May.
    2. Granger, C. W. J. & Newbold, Paul, 1986. "Forecasting Economic Time Series," Elsevier Monographs, Elsevier, edition 2, number 9780122951831 edited by Shell, Karl.
    3. Adolfo Figueroa, 1991. "Transformación en la Agricultura de América Latina: Capitalismo y Campesinado," Capítulos de Libros PUCP / Chapters of PUCP books,in: La agricultura latinoamericana: crisis, transformaciones y perspectivas, edition 1 Fondo Editorial - Pontificia Universidad Católica del Perú.
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