A DYNAMIC FACTOR MODEL FOR THE COLOMBIAN INFLATION

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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Year of publication:	2009-02-09
Authors:	González, Eliana ; Melo, Luis F. ; Monroy, Viviana ; Rojas, Brayan
Institutions:	BANCO DE LA REPÚBLICA
Subject:	Dynamic factor models \| static factor models \| forecast accuracy

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Series:	BORRADORES DE ECONOMIA.
Type of publication:	Book / Working Paper
Language:	English
Notes:	8 pages long
Classification:	C13 - Estimation ; C33 - Models with Panel Data ; C53 - Forecasting and Other Model Applications
Source:	RePEc - Research Papers in Economics

Persistent link: https://ebvufind01.dmz1.zbw.eu/10005597557