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Modelos de VAR alternativos para pronósticos (VAR bayesianos y FAVAR): el caso de las exportaciones argentinas

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  • Luis N. Lanteri

    () (Banco Central de Argentina)

Abstract

Las exportaciones representan uno de los agregados más importantes de la economía argentina, tanto por su vinculación con la demanda doméstica como por su influencia en el comportamiento de la balanza comercial y de la cuenta corriente. Disponer de adecuados pronósticos de esta variable resulta útil a fin de diseñar políticas que permitan mantener superávit en el sector externo y evitar las recurrentes crisis observadas en el pasado. En este trabajo, se consideran algunos modelos destinados a la realización de pronósticos de dicho agregado, los cuales podrían ser una alternativa a la estimación de sistemas econométricos estructurales. A tal efecto, se utilizan dos propuestas: la primera se basa en modelos de VAR sin restricciones y Bayesianos (‘Minnesota’ prior, ‘Gibbs sampler’, parcial BVAR y BVAR-Kalman). Estos últimos consideran supuestos a priori (‘prior’) e información histórica de las series de tiempo empleadas. La segunda propuesta descansa en modelos FAVAR (Factor-aumentado VAR), que combinan los VAR con el análisis de factores. Finalmente, se evalúa la capacidad de pronóstico de los distintos modelos.

Suggested Citation

  • Luis N. Lanteri, 2010. "Modelos de VAR alternativos para pronósticos (VAR bayesianos y FAVAR): el caso de las exportaciones argentinas," Revista Economía, Fondo Editorial - Pontificia Universidad Católica del Perú, vol. 33(66), pages 42-64.
  • Handle: RePEc:pcp:pucrev:y:2010:i:66:p:42-64
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    File URL: http://revistas.pucp.edu.pe/index.php/economia/article/view/795/761
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    References listed on IDEAS

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    More about this item

    Keywords

    exportaciones; VAR-Bayesianos (BVAR); FAVAR (Factor-aumentado VAR); capacidad de pronóstico.;

    JEL classification:

    • C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General
    • F1 - International Economics - - Trade

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