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Pronósticos Condicionados para Modelos VAR

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  • Luis Fernando Melo

Abstract

La incorporación y evaluación de metas en modelos econométricos juegan un papel importante en la toma de decisiones y el planeamiento de políticas económicas. En este documento se desarrrolla una metodología par construir pronósticos condicionados sobre modelos que admiten una representación VAR. Adicionalmente, se encuentra una aproximación al sesgo generado en los pronósticos de las series en la escala original al aplicar la transformación logaritmo en modelos VAR. La metodología de pronósticos condicionados, presentada en la sección II, se basa en el procedimiento desarrollado para modelos de función de transferencia sugerido por Guerrero (1991). Las restricciones son introducidas en forma de combinaciones lineales de los valores futuros. Los pronósticos condicionados se construyen incorporando las restricciones a pronósticos obtenidos de un modelo multivariado VAR. Este método además de generar los pronósticos condicionados con intervalos de confianza, facilita la evaluación de la verosimilitud del sendero sugerido con respecto a la evolución histórica de las variables. Por último se presenta una aplicación de esta metodología con datos simulados bajo la estructura de un modelo VAR.

Suggested Citation

  • Luis Fernando Melo, 1996. "Pronósticos Condicionados para Modelos VAR," Borradores de Economia 062, Banco de la Republica de Colombia.
  • Handle: RePEc:bdr:borrec:062
    DOI: 10.32468/be.62
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    References listed on IDEAS

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    1. Luis Fernando Melo. & Hugo Oliveros C., 1991. "Pronósticos condicionados: método y aplicación al caso de la inflación 1991," Revista ESPE - Ensayos sobre Política Económica, Banco de la Republica de Colombia, vol. 10(20), pages 87-105, December.
    2. 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.
    3. Jurgen A. Doornik & Henrik Hansen, 2008. "An Omnibus Test for Univariate and Multivariate Normality," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 70(s1), pages 927-939, December.
    4. Luis Fernando Melo, 1996. "Pronósticos Condicionados para Modelos VAR," Borradores de Economia 062, Banco de la Republica de Colombia.
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    1. Luis Fernando melo V., 1996. "Pronosticos Condicionados Para Modelos Var," Borradores de Economia 3392, Banco de la Republica.

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