Univariate inflation forecasts in Costa Rica: model evaluation and selection

Alberto Vindas-Quesada (), Carlos Brenes-Soto, Adriana Sandí-Esquivel () and Susan Jiménez-Montero ()
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Alberto Vindas-Quesada: Department of Economic Research, Central Bank of Costa Rica
Adriana Sandí-Esquivel: Economic Division, Central Bank of Costa Rica
Susan Jiménez-Montero: Department of Economic Research, Central Bank of Costa Rica

No 2405, Notas Técnicas from Banco Central de Costa Rica

Abstract: This document presents the methodology that the Central Bank of Costa Rica uses to evaluate and select the univariate models for short-horizon forecasting purposes. This methodology consists on cuantifying several properties that are deemed desirable for forecasting models, assigning scores and combining them to obtain a final score. The robustness of the model selection to the evaluation period is analyzed, given the recent inflation dynamics. The selection is sensitive to this period, leading to the recommendation of regular selection processes. Esta nota presenta la metodología que usa el Banco Central de Costa Rica para la evaluación y selección de los modelos univariados de proyección de inflación en el corto plazo. La metodología consiste en la cuantificación de varias propiedades deseables en modelos de pronóstico, la asignación de puntajes y su combinación para obtener un puntaje final. Se evalúa la robustez de la selección de los modelos a cambios en el periodo de evaluación, dados los cambios recientes en la dinámica inflacionaria. La selección del modelo es sensible a este periodo, por lo que se recomienda actualizar la selección con regularidad.

Keywords: Inflation; Forecasting; Stochastic Volatility; GARCH; Evaluation; Pronóstico (search for similar items in EconPapers)
JEL-codes: C52 C53 E31 E37 (search for similar items in EconPapers)
Pages: 41 pages
Date: 2024-10
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