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.
|Date of creation:||Nov 2004|
|Date of revision:|
|Contact details of provider:|| Postal: Casilla No967, Santiago|
Phone: (562) 670 2000
Fax: (562) 698 4847
Web page: http://www.bcentral.cl/
More information through EDIRC
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Massimiliano Marcellino & James H. Stock & Mark W. Watson, .
"Macroeconomic Forecasting in the Euro Area: Country Specific versus Area-Wide Information,"
201, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
- Marcellino, Massimiliano & Stock, James H. & Watson, Mark W., 2003. "Macroeconomic forecasting in the Euro area: Country specific versus area-wide information," European Economic Review, Elsevier, vol. 47(1), pages 1-18, February.
- Bernanke, Ben S. & Boivin, Jean, 2003.
"Monetary policy in a data-rich environment,"
Journal of Monetary Economics,
Elsevier, vol. 50(3), pages 525-546, April.
- Israel Sancho & maximo Camacho, 2002. "Spanish diffusion indexes," Computing in Economics and Finance 2002 276, Society for Computational Economics.
- Boivin, Jean & Ng, Serena, 2006.
"Are more data always better for factor analysis?,"
Journal of Econometrics,
Elsevier, vol. 132(1), pages 169-194, May.
- Michael ARTIS & Anindya BANERJEE & Massimiliano MARCELLINO, 2001.
"Factor Forecasts for the UK,"
Economics Working Papers
ECO2001/15, European University Institute.
- Michael Artis & Anindya Banerjee & Massimiliano Marcellino, . "Factor forecasts for the UK," Working Papers 203, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
- Artis, Michael J & Banerjee, Anindya & Marcellino, Massimiliano, 2002. "Factor Forecasts for the UK," CEPR Discussion Papers 3119, C.E.P.R. Discussion Papers.
- Stock, James H & Watson, Mark W, 2002. "Macroeconomic Forecasting Using Diffusion Indexes," Journal of Business & Economic Statistics, American Statistical Association, vol. 20(2), pages 147-62, April.
- Angelini, Elena & Henry, Jérôme & Mestre, Ricardo, 2001.
"Diffusion index-based inflation forecasts for the euro area,"
Working Paper Series
0061, European Central Bank.
- Elena Angelini & Jérôme Henry & Ricardo Mestre, 2001. "Diffusion index-based inflation forecasts for the euro area," BIS Papers chapters, in: Bank for International Settlements (ed.), Empirical studies of structural changes and inflation, volume 3, pages 109-138 Bank for International Settlements.
- Thomas J. Sargent & Christopher A. Sims, 1977.
"Business cycle modeling without pretending to have too much a priori economic theory,"
55, Federal Reserve Bank of Minneapolis.
- Tom Doan, . "RATS program to estimate observable index model from Sargent-Sims(1977)," Statistical Software Components RTZ00126, Boston College Department of Economics.
When requesting a correction, please mention this item's handle: RePEc:chb:bcchwp:274. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Claudio Sepulveda)
If references are entirely missing, you can add them using this form.