A dynamic factor model for the colombian inflation

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Borradores de Economía; No. 549

Date published

2009-01-15

Date

2009-01-15

Authors

González-Molano, Eliana Rocío
Melo-Velandia, Luis Fernando
Monroy, Viviana
Rojas, Brayan

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ISSN

ISBN

Document language

spa
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Las opiniones contenidas en el presente documento son responsabilidad exclusiva de los autores y no comprometen al Banco de la República ni a su Junta Directiva.

The opinions contained in this document are the sole responsibility of the author and do not commit Banco de la República or its Board of Directors.

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 observed over the period 1999:01-2008:06. The results show that for short-run horizons, factor model for

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JEL Codes

C53 - Forecasting and Prediction Methods; Simulation Methods

Temática

Keywords

Keywords

Dynamic factor models , Static factor models , Forecast accuracy

Citation

URI

https://repositorio.banrep.gov.co/handle/20.500.12134/5566
 https://hdl.handle.net/20.500.12134/5566
 https://ideas.repec.org/p/bdr/borrec/549.html
 https://doi.org/10.32468/be.549

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