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Evaluación de pronóstico de una red neuronal sobre el PIB en Colombia

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  • José Mauricio Salazar Sáenz

    ()

Abstract

Las redes neuronales artificiales han mostrado ser modelos robustos para dar cuenta del comportamiento de diferentes variables. En el presente trabajo se emplean para modelar la relación no lineal del crecimiento del PIB. Tres modelos son considerados: dos autoregresivos (especificación lineal y no lineal) y una red neuronal que usa la tasa de interés. Evaluando el desempeño de los modelos dentro y fuera de muestra, los pronósticos realizados por las redes neuronales artificiales superan ampliamente a los modelos lineales, siendo esta evidencia de relaciones asimétricas en el comportamiento del PIB en Colombia.

Suggested Citation

  • José Mauricio Salazar Sáenz, 2009. "Evaluación de pronóstico de una red neuronal sobre el PIB en Colombia," BORRADORES DE ECONOMIA 005934, BANCO DE LA REPÚBLICA.
  • Handle: RePEc:col:000094:005934
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    References listed on IDEAS

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    1. Martha Misas Arango & Enrique López Enciso & Pablo Querubín, 2002. "La Inflación En Colombia: Una Aproximación Desde Las Redes Neuronales," ENSAYOS SOBRE POLÍTICA ECONÓMICA, BANCO DE LA REPÚBLICA - ESPE, vol. 20(41-42), pages 143-214, June.
    2. Sims, Christopher A, 1980. "Comparison of Interwar and Postwar Business Cycles: Monetarism Reconsidered," American Economic Review, American Economic Association, pages 250-257.
    3. Carmen M Reinhart & Vincent R Reinhart, 1991. "Fluctuaciones Del Producto Y Choques Monetarios: Evidencia Colombiana," ENSAYOS SOBRE POLÍTICA ECONÓMICA, BANCO DE LA REPÚBLICA - ESPE, vol. 10(20), pages 53-85, December.
    4. Hendry, David F., 1995. "Dynamic Econometrics," OUP Catalogue, Oxford University Press, number 9780198283164.
    5. Lawrence J. Christiano & Martin Eichenbaum & Charles L. Evans, 2005. "Nominal Rigidities and the Dynamic Effects of a Shock to Monetary Policy," Journal of Political Economy, University of Chicago Press, vol. 113(1), pages 1-45, February.
    6. Donald P. Morgan, 1993. "Asymmetric effects of monetary policy," Economic Review, Federal Reserve Bank of Kansas City, issue Q II, pages 21-33.
    7. Munir A. Jalil. B & Martha Misas, 2006. "Evaluación de pronósticos del tipo de cambio utilizando," BORRADORES DE ECONOMIA 002636, BANCO DE LA REPÚBLICA.
    8. James H. Stock & Mark W.Watson, 2003. "Forecasting Output and Inflation: The Role of Asset Prices," Journal of Economic Literature, American Economic Association, pages 788-829.
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    More about this item

    Keywords

    Red neuronal artificial; no linealidad; PIB; Rolling de pronóstico; evaluación de pronóstico.;

    JEL classification:

    • C45 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Neural Networks and Related Topics
    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
    • E17 - Macroeconomics and Monetary Economics - - General Aggregative Models - - - Forecasting and Simulation: Models and Applications
    • E23 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment - - - Production

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