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EXPLORING TWO INFLATIONARY REGIMES IN LATIN-AMERICAN ECONOMIES: A BINARY TIME SERIES ANALYSIS

Juan Brida () and Nicolas Garrido ()
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Nicolas Garrido: Department of Economics, Universidad Catolica del Norte, Antofagasta, Chile

International Journal of Modern Physics C (IJMPC), 2006, vol. 17, issue 03, 343-356

Abstract: The aim of this paper is to apply the methods of Symbolic Time Series Analysis (STSA) to a series of inflation from a group of Latin-American economies. Starting with a partition of two inflation regimes, we use data symbolization for identifying temporal patterns. Afterwards the statistical information obtained from the patterns is used to estimate the parameters of a nonlinear model proposed by Brida (2000).1We compare the performance of the model against a naive benchmark predictor to verify its power to anticipate the qualitative behavior of the inflation time series. When the use of STSA is made through pure optimization criteria, the performance of the model is poor. However, when the partition of the space of states is made according to economics intuition, the performance of the model increases considerably.

Keywords: Qualitative data analysis; symbolic time series; symbolic dynamics; economic regimes; regime dynamics (search for similar items in EconPapers)
Date: 2006
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DOI: 10.1142/S0129183106008509

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