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Evaluación de pronóstico de una red neuronal sobre el PIB en Colombia

  • José Mauricio Salazar Sáenz

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    Las redes neuronales artificiales han mostrado ser modelos robustos para dar cuenta del comportamiento de diferentes variables. En el presente trabajo se emplean para modelar la relación no lineal del crecimiento del PIB. Tres modelos son considerados: dos autoregresivos (especificación lineal y no lineal) y una red neuronal que usa la tasa de interés. Evaluando el desempeño de los modelos dentro y fuera de muestra, los pronósticos realizados por las redes neuronales artificiales superan ampliamente a los modelos lineales, siendo esta evidencia de relaciones asimétricas en el comportamiento del PIB en Colombia.

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    Paper provided by Banco de la Republica de Colombia in its series Borradores de Economia with number 575.

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    Handle: RePEc:bdr:borrec:575
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    1. Carmen M Reinhart & Vincent R Reinhart, 1991. "Fluctuaciones Del Producto Y Choques Monetarios: Evidencia Colombiana," ENSAYOS SOBRE POLÍTICA ECONÓMICA, BANCO DE LA REPÚBLICA - ESPE.
    2. Christopher A. Sims, 1980. "Comparison of Interwar and Postwar Business Cycles: Monetarism Reconsidered," NBER Working Papers 0430, National Bureau of Economic Research, Inc.
    3. 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.
    4. Martha Misas A. & Enrique López E. & Carlos A. Arango A. & Juan Nicolás Hernández A., 2003. "La Demanda de Efectivo en Colombia: Una Caja Nagra a la Luz de las Redes Neuronales," BORRADORES DE ECONOMIA 002963, BANCO DE LA REPÚBLICA.
    5. James H. Stock & Mark W. Watson, 2001. "Forecasting Output and Inflation: The Role of Asset Prices," NBER Working Papers 8180, National Bureau of Economic Research, Inc.
    6. repec:cup:cbooks:9780521770415 is not listed on IDEAS
    7. Reinhart, Carmen & Reinhart, Vincent, 1991. "Fluctuaciones del producto y choques monetarios: evidencia colombiana
      [Output Fluctuations and Monetary Shocks: Evidence from Colombia]
      ," MPRA Paper 13654, University Library of Munich, Germany.
    8. repec:cup:cbooks:9780521779654 is not listed on IDEAS
    9. Hendry, David F., 1995. "Dynamic Econometrics," OUP Catalogue, Oxford University Press, number 9780198283164, March.
    10. Munir A. Jalil. B & Martha Misas, 2006. "Evaluación de pronósticos del tipo de cambio utilizando," BORRADORES DE ECONOMIA 002636, BANCO DE LA REPÚBLICA.
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