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Combinación de Pronósticos de la Inflación en Presencia de cambios Estructurales

Author

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  • Luis Fernando Melo
  • Héctor Núñez

Abstract

En este trabajo se implementan diferentes metodologías de combinación de pronósticos para la inflación colombiana durante el período trimestral comprendido entre 1999:I y 2003:II. Los métodos de combinación propuestos permiten modelar cambios estructurales con el objeto de capturar el cambio de nivel de la inflación ocurrido en 1998 y 1999. Lo resultados obtenidos muestran que la metodología de Castaño y Melo (1998), que no considera cambios estructurales, sigue siendo apropiada para pronósticos de horizontes de 1,2 y 3 trimestres. Sin embargo, para horizontes mayores las metodologías de combinación que consideran cambios estructurales son las mejores, en el sentido de que tienen menor error cuadrático medio de predicción.

Suggested Citation

  • 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.
    • Handle: RePEc:bdr:borrec:286
    DOI: 10.32468/be.286
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    Cited by:

    1. Luis Fernando Melo & Rub�n Albeiro Loaiza Maya, 2012. "Bayesian Forecast Combination for Inflation Using Rolling Windows: An Emerging Country Case," Borradores de Economia 9511, Banco de la Republica.
    2. Eliana Gonz�lez, 2010. "Bayesian Model Averaging. An Application to Forecast Inflation in Colombia," Borradores de Economia 7015, Banco de la Republica.
    3. Andr�s Langebaek & Eliana Gonz�lez M., 2007. "Inflaci�N Y Precios Relativos En Colombia," Borradores de Economia 4249, Banco de la Republica.
    4. Héctor Mauricio Nunez 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.
    5. Gomez, Miguel I. & Gonzalez, Eliana & Melo, Luis F. & Torres, Jose L., 2006. "Forecasting Food Price Inflation, Challenges for Central Banks in Developing Countries using an Inflation Targeting Framework: the Case of Colombia," 2006 Annual meeting, July 23-26, Long Beach, CA 21181, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
    6. Eliana González Molano & Luis Fernando Melo Velandia & Anderson Grajales Olarte, 2007. "Pronósticos directos de la inflación colombiana," Borradores de Economia 458, Banco de la Republica de Colombia.
    7. Eliana González & Luis F. Melo & Viviana Monroy & Brayan Rojas, 2009. "A Dynamic Factor Model For The Colombian Inflation," Borradores de Economia 5273, Banco de la Republica.
    8. Melo, Luis F. & Loaiza, Rubén A. & Villamizar-Villegas, Mauricio, 2016. "Bayesian combination for inflation forecasts: The effects of a prior based on central banks’ estimates," Economic Systems, Elsevier, vol. 40(3), pages 387-397.
    9. Eliana Gonz�lez & Miguel I. G�mez & Luis F. Melo & Jos� Luis Torres, 2006. "Forecasting Food Price Inflation in Developing Countries with Inflation Targeting Regimes: the Colombian Case," Borradores de Economia 2735, Banco de la Republica.
    10. Eliana González & Miguel I. Gómez & Luis F. Melo & José Luis Torres, 2006. "Forecasting Food Price Inflation in Developing Countries with Inflation Targeting Regimes: the Colombian Case," Borradores de Economia 2735, Banco de la Republica.
    11. Andr�s Langebaek & Eliana Gonz�lez M., 2007. "Inflaci�N Y Precios Relativos En Colombia," Borradores de Economia 4248, Banco de la Republica.
    12. Santiago Cajiao Raigosa & Luis Fernando Melo Velandia & Daniel Parra Amado, 2014. "Pronósticos para una economía menos volátil: el caso colombiano," Coyuntura Económica, Fedesarrollo.
    13. Eliana González, 2010. "Bayesian Model Averaging. An Application to Forecast Inflation in Colombia," Borradores de Economia 7013, Banco de la Republica.
    14. Luis Eduardo Arango & Luz Adriana Fl�rez, 2004. "Expectativas De Actividad Económica En Colombia Y Estructura A Plazo: Un Poco Más De Evidencia," Revista ESPE - Ensayos Sobre Política Económica, Banco de la República, vol. 22(47), pages 126-160.
    15. Santiago Cajiao Raigosa & Luis Fernando Melo Velandia & Daniel Parra Amado, 2014. "Pronósticos para una economía menos volátil: el caso colombiano," Coyuntura Económica, Fedesarrollo.
    16. Luis Eduardo Arango & Luz Adriana Flórez, 2004. "Expectativas De Actividad Económica En Colombia Y Estructura A Plazo: Un Poco Más De Evidencia," Revista ESPE - Ensayos Sobre Política Económica, Banco de la República, vol. 22(47), pages 126-160, December.
    17. Eliana Gonz�lez Molano & Luis Fernando Melo Velnadia & Anderson Grajales Olarte, 2007. "Pron�sticos directos de la inflaci�n colombiana," Borradores de Economia 4247, Banco de la Republica.
    18. Luis Fernando Melo & Rub�n Albeiro Loaiza Maya, 2012. "Bayesian Forecast Combination for Inflation Using Rolling Windows: An Emerging Country Case," Borradores de Economia 9511, Banco de la Republica.
    19. Eliana Gonz�lez, 2011. "Forecasting With Many Predictors. An Empirical Comparison," Borradores de Economia 7996, Banco de la Republica.
    20. Eliana González, 2011. "Forecasting With Many Predictors. An Empirical Comparison," Borradores de Economia 7996, Banco de la Republica.
    21. Eliana Gonz�lez Molano & Luis Fernando Melo Velnadia & Anderson Grajales Olarte, 2007. "Pron�sticos directos de la inflaci�n colombiana," Borradores de Economia 4246, Banco de la Republica.
    22. Santiago Cajiao Raigosa & Luis Fernando Melo Velandia & Daniel Parra Amado, 2014. "Pron�sticos para una econom�a menos vol�til: El caso colombiano," Borradores de Economia 11252, Banco de la Republica.
    23. Andrés Langebaek R. & Eliana González Molano, 2007. "Inflación Y Precios Relativos En Colombia," Borradores de Economia 459, Banco de la Republica de Colombia.

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