Uso de Análisis Factorial Dinámico para Proyecciones Macroeconómicas
In this paper we use the dynamic factor analysis methodology developed by Stock and Watson (1998) in order to forecast inflation and an index of economic activity for the Chilean economy. Our results indicate that using factors in the process of forecasting of these macroeconomic variables improve significantly out of sample forecasts. Additionally, we find that factor augmented Phillips curve forecasts perform better than conventional Phillips curve forecasts based only on output gap measures.
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201, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
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in: Bank for International Settlements (ed.), Empirical studies of structural changes and inflation, volume 3, pages 109-138
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9829, National Bureau of Economic Research, Inc.
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