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Combinación de pronósticos de la inflación en presencia de cambios estructurales

  • Luis Fernando Melo Velandia


  • Héctor M. Núñez Amortegui


En este trabajo se implementan diferentes metodologías de combinación de pronósticos para la inflación colombiana durante el período trimestral comprendido entre 1999:I y 2003:I I. Los métodos de combinación propuestos permiten modelar cambios estructurales con el objeto de capturar el cambio de nivel de la inflación ocurrido en 1998 y 1999. Los resultados obtenidos muestran que la metodología de Castaño y Melo (1998), que no considera cambios estructurales, sigue siendo apropiada para pronósticos de horizontes de 1, 2 y 3 trimestres. Sin embargo, para horizontes mayores las metodologías de combinación que consideran cambios estructurales son las mejores, en el sentido de que tienen el menor error cuadrático medio de predicción.

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Paper provided by BANCO DE LA REPÚBLICA in its series BORRADORES DE ECONOMIA with number 002153.

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Length: 51
Date of creation: 31 May 2004
Date of revision:
Handle: RePEc:col:000094:002153
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