A DYNAMIC FACTOR MODEL FOR THE COLOMBIAN INFLATION

Eliana González-Molano, Luis Melo-Velandia, Viviana Monroy Mejía (vpmonroym@unal.edu.co) and Brayan Rojas (brrojaso@unal.edu.co)

No 5273, Borradores de Economia from Banco de la Republica

Abstract: 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.

Keywords: Dynamic factor models; static factor models; forecast accuracy. (search for similar items in EconPapers)
JEL-codes: C13 C33 C53 (search for similar items in EconPapers)
Pages: 87
Date: 2009-02-09
New Economics Papers: this item is included in nep-cba, nep-for, nep-mac and nep-mon
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (8)

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Related works:
Working Paper: A Dynamic Factor Model for the Colombian Inflation (2009)
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Persistent link: https://EconPapers.repec.org/RePEc:col:000094:005273

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