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Cálculo del ranking acumulado para la encuesta de expectativas de inflación y tasa de cambio nominal, a través de una prueba no paramétrica

Author

Listed:
  • Wilmer O. Martínez R
  • Manuel D. Hernández

Abstract

En este documento se presenta una metodología para el cálculo del Ranking acumulado de las entidades financieras que participan en la encuesta mensual de expectativas de inflación y tasa de cambio nominal (TRM), realizada por el Banco de la República. La metodología se basa en la prueba estadística no paramétrica propuesta por Jonckheere (1954), que consiste en un sistema de hipótesis de igualdad de distribuciones de probabilidad acumulada con alternativa de ordenamiento estricto para k muestras (k ≥ 2). La metodología busca determinar el orden óptimo con el cual se rechaza la hipótesis nula, esto último se hace por medio de permutaciones. Ésta metodología es implementada en el programa R.

Suggested Citation

  • Wilmer O. Martínez R & Manuel D. Hernández, 2012. "Cálculo del ranking acumulado para la encuesta de expectativas de inflación y tasa de cambio nominal, a través de una prueba no paramétrica," Borradores de Economia 9265, Banco de la Republica.
    • Handle: RePEc:col:000094:009265
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    Keywords

    Encuesta de expectativas económicas; Prueba de hipótesis no paramétrica; Prueba de Jonckheere.;
    All these keywords.

    JEL classification:

    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
    • C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
    • D00 - Microeconomics - - General - - - General
    • D21 - Microeconomics - - Production and Organizations - - - Firm Behavior: Theory

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