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Un Pronóstico no Paramétrico de la Inflación Colombiana

  • Norberto Rodríguez N.

    ()

  • Patricia Siado C.

This paper contains the results of a non parametric multi-step ahead forecast for the monthly Colombian inflation, using Mean conditional Kernel estimation over inflation changes, with no inclusion of exogenous variables. The results are compared with those from an ARIMA and a nonlinear STAR. The nonparametric forecast over perform the others two, as well as being the only, from the three, that statistically improved the naive forecast given by a random-walk model.

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Paper provided by Banco de la Republica de Colombia in its series Borradores de Economia with number 248.

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Handle: RePEc:bdr:borrec:248
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  1. Martha Misas Arango & Enrique López Enciso & Pablo Querubín Borrero, 2002. "La Inflación en Colombia: Una Aproximación desde las Redes Neuronales," BORRADORES DE ECONOMIA 003029, BANCO DE LA REPÚBLICA.
  2. Diebold, Francis X & Mariano, Roberto S, 1995. "Comparing Predictive Accuracy," Journal of Business & Economic Statistics, American Statistical Association, vol. 13(3), pages 253-63, July.
  3. Wolfgang HÄRDLE & H. LÜTKEPOHL & R. CHEN, 1996. "A Review of Nonparametric Time Series Analysis," SFB 373 Discussion Papers 1996,48, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
  4. Härdle, W.K., 1992. "Applied Nonparametric Methods," Discussion Paper 1992-6, Tilburg University, Center for Economic Research.
  5. Pham, Tuan D. & Tran, Lanh T., 1985. "Some mixing properties of time series models," Stochastic Processes and their Applications, Elsevier, vol. 19(2), pages 297-303, April.
  6. Johnston, Gordon J., 1982. "Probabilities of maximal deviations for nonparametric regression function estimates," Journal of Multivariate Analysis, Elsevier, vol. 12(3), pages 402-414, September.
  7. Oliver LINTON, . "Applied nonparametric methods," Statistic und Oekonometrie 9312, Humboldt Universitaet Berlin.
  8. Munir A. Jalil & Luis Fernando Melo, . "Una Relación no Líneal entre Inflación y los Medios de Pago," Borradores de Economia 145, Banco de la Republica de Colombia.
  9. Siegfried Heiler, 1999. "A Survey on Nonparametric Time Series Analysis," Finance 9904005, EconWPA.
  10. Siegfried Heiler, 1999. "A Survey on Nonparametric Time Series Analysis," CoFE Discussion Paper 99-05, Center of Finance and Econometrics, University of Konstanz.
  11. Wolfgang HÄRDLE & L. YANG, 1996. "Nonparametric Time Series Model Selection," SFB 373 Discussion Papers 1996,53, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
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