A DYNAMIC FACTOR MODEL FOR THE COLOMBIAN INFLATION
Luis Melo-Velandia (),
Viviana Monroy Mejía () and
Brayan Rojas ()
BORRADORES DE ECONOMIA from BANCO DE LA REPÚBLICA
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 observedover the period 1999:01-2008:06. The results show that for short-run horizons, factor modelforecasts significantly outperformed the auto-regressive benchmark model in terms of theroot 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)
New Economics Papers: this item is included in nep-cba, nep-for, nep-mac and nep-mon
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Working Paper: A Dynamic Factor Model for the Colombian Inflation (2009)
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Persistent link: https://EconPapers.repec.org/RePEc:col:000094:005273
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