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Pron�sticos para una econom�a menos vol�til: El caso colombiano

Author

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  • Santiago Cajiao Raigosa
  • Luis Fernando Melo Velandia
  • Daniel Parra Amado

Abstract

Este trabajo eval�a si las transformaciones de potencia (Box-Cox y en particular logar�tmica) de series de tiempo mejoran la precisi�n de los pron�sticos de modelos ARIMA ajustados a variables econ�micas de Colombia en dos periodos diferentes: 1980-1995 y 2002-2012. Se compara la habilidad predictiva de series en nivel y series transformadas a trav�s de un experimento fuera de muestra mediante el uso de la prueba de habilidad predictiva incondicional de Giacomini y White [2006]. Se encuentra que los pron�sticos de las series transformadas, en general, se desempe�an mejor para el periodo 1980-1995, cuando la econom�a colombiana fue relativamente m�s vol�til que durante el periodo 2002-2012. Para este �ltimo tramo de la muestra, los resultados son mixtos y para algunas series se sugiere mantenerlas en niveles; es decir, sin utilizar transformaciones de potencia.

Suggested Citation

  • Santiago Cajiao Raigosa & Luis Fernando Melo Velandia & Daniel Parra Amado, 2014. "Pron�sticos para una econom�a menos vol�til: El caso colombiano," Borradores de Economia 11252, Banco de la Republica.
    • Handle: RePEc:col:000094:011252
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    References listed on IDEAS

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    Cited by:

    1. Davinson Stev Abril Salcedo & Luis Fernando Melo Velandia & Daniel Parra Amado, 2015. "Heterogeneidad de los Índices de Producción Sectoriales de la Industria Colombiana," Borradores de Economia 12973, Banco de la Republica.
    2. Santiago Cajiao Raigosa & Luis Fernando Melo Velandia & Daniel Parra Amado, 2014. "Pronósticos para una economía menos volátil: el caso colombiano," Coyuntura Económica, Fedesarrollo.

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    More about this item

    Keywords

    Transformaci�n de potencia; transformaci�n logar�tmica; evaluaci�n de pron�sticos.;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods

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