A Dynamic Factor Model for the Colombian Inflation

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 observed over the period 1999:01-2008:06. The results show that for short-run horizons, factor model forecasts significantly outperformed the auto-regressive benchmark model in terms of the root mean squared forecast error statistic.

MoreLess

Authors:	González, Eliana ; Melo, . Luis F. ; Monroy, Viviana ; Rojas, Brayan
Institutions:	Banco de la Republica de Colombia
Subject:	Dynamic factor models \| static factor models \| forecast accuracy

More details

Extent:	application/pdf
Series:	Borradores de Economia.
Type of publication:	Book / Working Paper
Language:	English
Classification:	C13 - Estimation ; C33 - Models with Panel Data ; C53 - Forecasting and Other Model Applications
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005274325