Un Pronóstico no Paramétrico de la Inflación Colombiana

Norberto Rodríguez N. () and Patricia Siado C.
Authors registered in the RePEc Author Service: Norberto Rodríguez ()

Borradores de Economia from Banco de la Republica de Colombia

Abstract: This paper contains the results of a non parametric multi-step ahead forecast for the monthly Colombian inflation, using Mean conditional Kernel estimation over inflation changes, with no inclusion of exogenous variables. The results are compared with those from an ARIMA and a nonlinear STAR. The nonparametric forecast over perform the others two, as well as being the only, from the three, that statistically improved the naive forecast given by a random-walk model.

Keywords: Nonparametric forecast; Kernel Estimation; Forecast Evaluation; Bandwidth Selection; Rolling Forecast. (search for similar items in EconPapers)
JEL-codes: C14 C22 C52 C53 E31 (search for similar items in EconPapers)
Date: 2003-06
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Citations: View citations in EconPapers (2)

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https://doi.org/10.32468/be.248 (application/pdf)

Related works:
Working Paper: UN PRONÓSTICO NO PARAMÉTRICO DE LA INFLACIÓN COLOMBIANA (2003)
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Persistent link: https://EconPapers.repec.org/RePEc:bdr:borrec:248

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