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A Dynamic Factor Model For The Colombian Inflation

  • Eliana González

    ()

  • Luis F. Melo

    ()

  • Viviana Monroy

    ()

  • Brayan Rojas

ABSTRACT. We use a dynamic factor model proposed by Stock and Watson [1998, 1999,2002a,b] to forecast Colombian inflation. The model includes 92 monthly series observedover the period 1999:01-2008:06. The results show that for short-run horizons, factor modelforecasts significantly outperformed the auto-regressive benchmark model in terms of theroot mean squared forecast error statistic.

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Paper provided by BANCO DE LA REPÚBLICA in its series BORRADORES DE ECONOMIA with number 005273.

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Length: 87
Date of creation: 09 Feb 2009
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Handle: RePEc:col:000094:005273
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  4. Luis Fernando Melo Velandia & Héctor M. Núñez Amortegui, 2004. "Combinación de pronósticos de la inflación en presencia de cambios estructurales," BORRADORES DE ECONOMIA 002153, BANCO DE LA REPÚBLICA.
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  15. Ziegler, Christina & Eickmeier, Sandra, 2006. "How good are dynamic factor models at forecasting output and inflation? A meta-analytic approach," Discussion Paper Series 1: Economic Studies 2006,42, Deutsche Bundesbank, Research Centre.
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