Proyección Agregada y Desagregada del PIB Chileno con Procedimientos Automatizados de Series de Tiempo
This paper compares the out-of-sample error of two forecasting methods for Chile’s GDP. The first method forecasts the aggregate GDP, while the second aggregates the forecasts of the supply-side components. As forecasting method we use the automatic model selection contained in the seasonal adjustment program X12-ARIMA version 0.2.10. Our sample includes the information contained in the first data release until 2009.I. For the whole sample, this paper finds no significant difference between both methods, according to tests commonly used in this literature. However, in periods of low GDP volatility the aggregate method performs better in terms of root mean squared error, while the disaggregate approach outperforms the aggregate one in periods of high GDP volatility.
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- Diebold, Francis X & Mariano, Roberto S, 2002.
"Comparing Predictive Accuracy,"
Journal of Business & Economic Statistics,
American Statistical Association, vol. 20(1), pages 134-44, January.
- Clements,Michael & Hendry,David, 1998.
"Forecasting Economic Time Series,"
Cambridge University Press, number 9780521632423, October.
- Marcus Cobb, 2009. "Forecasting Chilean Inflation From Disaggregate Components," Working Papers Central Bank of Chile 545, Central Bank of Chile.
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