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Métodos de Combinación de Pronósticos: Una Aplicación a la Inflación Colombiana

Author

Listed:
  • Elkin Castaño
  • Luis Fernando Melo

    ()

Abstract

En este trabajo se presentan algunos métodos de combinación de pronósticos de diferentes modelos econométricos. Estas metodologías tienen como principal objetivo encontrar una combinación lineal de pronósticos de diferentes modelos que produzca una predicción mejorada en términos de precisión. Basados en estas técnicas se realizan dos ejercicios: en la primera aplicación se emplean estos métodos sobre quince modelos trimestrales de la inflación colombiana para pronósticos en el período comprendido entre 1992:I y 1998:II considerando horizontes desde uno hasta cuatro trimestres. Los resultados de este análisis muestran una mejoría significativa en las predicciones; en efecto, el pronóstico combinado comparado con los pronósticos del mejor de los modelos econométricos reporta ganancias en precisión (RMSE); en caso del horizonte de un trimestre es del 16.1% para el horizonte de dos trimestres es del 42%, para el horizonte tres del 21.3% y del 12%.8 para el horizonte de cuatro trimestres. La segunda aplicación de las metodologías de combinación de pronósticos se realiza utilizando un ejercicio de simulación, el cual se basa en modelos similares a los empleados en el primer ejercicio; los resultados obtenidos muestran que bajo técnicas adecuadas de combinación de pronósticos es posible obtener alrededor de un 50% y 35% de ganancia en precisión con respecto a los modelos individuales para horizontes de uno y cuatro trimestres, respectivamente.

Suggested Citation

  • Elkin Castaño & Luis Fernando Melo, 1998. "Métodos de Combinación de Pronósticos: Una Aplicación a la Inflación Colombiana," Borradores de Economia 109, Banco de la Republica de Colombia.
  • Handle: RePEc:bdr:borrec:109
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    References listed on IDEAS

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    Cited by:

    1. Martha Misas & Enrique López, 2000. "La Utilización De La Capacidad Instalada De La Industria En Colombia: Un Nuevo Enfoque," ENSAYOS SOBRE POLÍTICA ECONÓMICA, BANCO DE LA REPÚBLICA - ESPE, vol. 18(38), pages 5-44, December.
    2. Martha Misas A. & Enrique López & Luis Fernando Melo, 1999. "La Inflación Desde Una Perspectiva Monetaria: Un Modelo P* Para Colombia," ENSAYOS SOBRE POLÍTICA ECONÓMICA, BANCO DE LA REPÚBLICA - ESPE, issue 35, pages 5-53, May.
    3. Javier Gómez & José Darío Uribe & Hernando Vargas, 2002. "The Implementation Of Inflation Targeting In Colombia," BORRADORES DE ECONOMIA 003603, BANCO DE LA REPÚBLICA.
    4. Luis Fernando Melo & Héctor Núñez, 2004. "Combinación de Pronósticos de la Inflación en Presencia de cambios Estructurales," Borradores de Economia 286, Banco de la Republica de Colombia.
    5. Enrique López E & Martha Misas A, 1998. "Un Examen Empírico De La Curva De Phillips En Colombia," ENSAYOS SOBRE POLÍTICA ECONÓMICA, BANCO DE LA REPÚBLICA - ESPE, vol. 17(34), pages 39-87, December.
    6. Aguilar, Ruben & Valdivia, Daney, 2011. "Precios de exportación de gas natural para Bolivia: Modelación y pooling de pronósticos
      [Bolivian natural gas export prices: Modeling and forecast pooling]
      ," MPRA Paper 35485, University Library of Munich, Germany.
    7. Héctor Mauricio Nuñez Amortegui, 2005. "Una evaluación de los pronósticos de inflación en Colombia bajo el esquema de inflación objetivo," REVISTA DE ECONOMÍA DEL ROSARIO, UNIVERSIDAD DEL ROSARIO, December.

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