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Un Pronóstico no Paramétrico de la Inflación Colombiana

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  • Norberto Rodríguez N.

    ()

  • Patricia Siado C.

Abstract

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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Keywords: Nonparametric forecast; Kernel Estimation; Forecast Evaluation; Bandwidth Selection; Rolling Forecast.;

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Find related papers by JEL classification:
  • C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
  • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
  • C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
  • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
  • E31 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Price Level; Inflation; Deflation

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  1. Martha Misas & Enrique López & Pablo Querubín, . "La Inflación en Colombia: Una Aproximación desde las Redes Neuronales," Borradores de Economia 199, Banco de la Republica de Colombia.
  2. Siegfried Heiler, 1999. "A Survey on Nonparametric Time Series Analysis," CoFE Discussion Paper 99-05, Center of Finance and Econometrics, University of Konstanz.
  3. 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.
  4. 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.
  5. Hardle, W., 1992. "Applied Nonparametric Methods," Papers 9204, Catholique de Louvain - Institut de statistique.
  6. 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.
  7. Siegfried Heiler, 1999. "A Survey on Nonparametric Time Series Analysis," Finance 9904005, EconWPA.
  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. Luis Fernando Melo & Martha Misas, . "Análisis del Comportamiento de la Inflación Trimestral en Colombia Bajo Cambios de Régimen: Una Evidencia a Través del Modelo: "Switching" de Hamilton," Borradores de Economia 086, Banco de la Republica de Colombia.
  10. 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.
  11. Pagan,Adrian & Ullah,Aman, 1999. "Nonparametric Econometrics," Cambridge Books, Cambridge University Press, number 9780521355643, November.
  12. Oliver LINTON, . "Applied nonparametric methods," Statistic und Oekonometrie 9312, Humboldt Universitaet Berlin.
  13. 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.
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Cited by:

  1. Juan Manuel Julio & Norberto Rodríguez & Hector Zárate, . "Estimating the COP Exchange Rate Volatility Smile and the Market Effect of Central Bank Interventions: A CHARN Approach," Borradores de Economia 347, Banco de la Republica de Colombia.
  2. Luis Eduardo Arango & Luz Adriana Flórez, . "Expectativas de Actividad Económica en Colombia y Estructura a Plazo: Un Poco más de Evidencia," Borradores de Economia 302, Banco de la Republica de Colombia.
  3. María Paola Figueroa & Javier Gómez Pineda, . "Modelo Mensual de Canales de Transmisión," Borradores de Economia 267, Banco de la Republica de Colombia.
  4. Luis F. Melo Velandia & Rubén A. Loaiza Maya & Mauricio Villamizar-Villegas, 2014. "Bayesian Combination for Inflation Forecasts: The Effects of a Prior Based on Central Banks’ Estimates," BORRADORES DE ECONOMIA 012323, BANCO DE LA REPÚBLICA.

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