Un sistema ARIMA con agregación temporal para la previsión y el seguimiento del déficit del Estado

Teresa Leal Linares () and Javier Pérez
Additional contact information
Teresa Leal Linares: Universidad de Huelva

Hacienda Pública Española / Review of Public Economics, 2009, vol. 190, issue 3, 27-58

Abstract: Our aim is to develop a temporal aggregation ARIMA model to monitor and forecast the annual Spanish central government deficit in order to detect in advance a possible deterioration of the annual public sector balance, using monthly data. We compare the predictive performance of the proposed model with competing forecasting methods, such as annual forecasts directly derived from monthly ARIMA models, and official forecasts published by the government. The results confirm the large improvement in forecasting performance of the aggregated ARIMA system when compared to other alternatives.

Keywords: Fiscal forecasting; time series analysis; monitoring; forecasting; public deficit (search for similar items in EconPapers)
JEL-codes: C22 C53 H68 (search for similar items in EconPapers)
Date: 2009
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://www.ief.es/comun/Descarga.cshtml?ruta=~/do ... tas/hpe/190_Art2.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:hpe:journl:y:2009:v:190:i:3:p:27-58

Access Statistics for this article

More articles in Hacienda Pública Española / Review of Public Economics from IEF Contact information at EDIRC.
Bibliographic data for series maintained by Miguel Gómez de Antonio ().