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Pronósticos directos de la inflación colombiana

  • Eliana González Molano

    ()

  • Luis Fernando Melo Velandia

    ()

  • Anderson Grajales Olarte

    ()

En países como Colombia en donde se sigue una estrategia de inflación objetivo es fundamental para el Banco Central contar con buenos modelos para pronosticar la inflación. En este documento se comparan los pronósticos de inflación obtenidos a partir de un modelo de Curva de Phillips usando dos metodologías diferentes: pronósticos directos y pronósticos iterativos (tradicionales) para una muestra trimestral entre 1988 y 2007. Los pronósticos directos están basados en estimaciones OLS, mientras que los iterativos lo están en estimaciones tanto por OLS como por mínimos cuadrados flexibles. Los resultados encontrados muestran que al utilizar el mismo método de estimación, OLS, el error de pronóstico de la metodología directa es menor que el de la iterativa en el mediano plazo. Sin embargo, los pronósticos iterativos generados con la metodología de mínimos cuadrados flexibles superan a los directos - OLS.

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Paper provided by Banco de la Republica de Colombia in its series Borradores de Economia with number 458.

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  1. Enrique López E. & Martha Misas A., 1999. "Un Examen Empirico De La Curva De Phillips En Colombia," BORRADORES DE ECONOMIA 003676, BANCO DE LA REPÚBLICA.
  2. Melisso Boschi & Alessandro Girardi, 2007. "Euro area inflation: long-run determinants and short-run dynamics," Applied Financial Economics, Taylor & Francis Journals, vol. 17(1), pages 9-24.
  3. Luis Fernando Melo & Héctor Núñez, . "Combinación de Pronósticos de la Inflación en Presencia de cambios Estructurales," Borradores de Economia 286, Banco de la Republica de Colombia.
  4. Martha Misas Arango & Enrique López Enciso & Luis Fernando Melo velandia, 1999. "La Inflación Desde Una Perspectiva Monetaria : Un Modelo P* Para Colombia," BORRADORES DE ECONOMIA 003028, BANCO DE LA REPÚBLICA.
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  11. Luis Fernando Melo & Martha Misas A., . "Modelos Estructurales de Inflación en Colombia: Estimación a Través de Mínimos Cuadrados Flexibles," Borradores de Economia 283, Banco de la Republica de Colombia.
  12. Guillaume Chevillon, 2007. "Direct Multi-Step Estimation And Forecasting," Journal of Economic Surveys, Wiley Blackwell, vol. 21(4), pages 746-785, 09.
  13. Johnston, H N, 1974. "A Note on the Estimation and Prediction Inefficiency of "Dynamic" Estimators," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 15(1), pages 251-55, February.
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  16. Ing, Ching-Kang, 2003. "Multistep Prediction In Autoregressive Processes," Econometric Theory, Cambridge University Press, vol. 19(02), pages 254-279, April.
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