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A Dynamic Factor Model for the Colombian Inflation

Eliana González-Molano, Luis Melo-Velandia (), Viviana Monroy Mejía () and Brayan Rojas ()

Borradores de Economia from Banco de la Republica de Colombia

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 observed over the period 1999:01-2008:06. The results show that for short-run horizons, factor model forecasts significantly outperformed the auto-regressive benchmark model in terms of the root 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)
Date: 2009-12
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https://doi.org/10.32468/be.549 (application/pdf)

Related works:
Working Paper: A DYNAMIC FACTOR MODEL FOR THE COLOMBIAN INFLATION (2009) Downloads
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Persistent link: https://EconPapers.repec.org/RePEc:bdr:borrec:549

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