Pronosticando la inflación mensual en Colombia un paso hacia delante: Una aproximación "de abajo hacia arriba"

Artikel

The hierarchical structure of the Colombian Consumer Price Index (CPI) makes possible to calculate inflation as a linear combination of its subcomponents. We use SARIMA models to forecast each component of CPI and construct an forecast of inflation using a lineal combination of the forecasts of these components, i.e. a "bottom to top" approach. In this paper, we asses the out-of-sample performance of the one-step ahead forecast of 12 "bottom to top" methodologies. These methods are compared with an aggregate forecast using a SARIMA model. Our results show that a "bottom to top" method to forecast inflation outperforms an aggregate approach for the case of monthly inflation in Colombia.

Object Details

• Language: Spanisch

References and Relationships

• Bibliographic citation: Journal: Revista de Métodos Cuantitativos para la Economía y la Empresa ; ISSN: 1886-516X ; Volume: 23 ; Year: 2017 ; Pages: 98-118 ; Sevilla: Universidad Pablo de Olavide

Classification and Topics

• Classification: Wirtschaft ; Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models ; Forecasting Models; Simulation Methods ; Price Level; Inflation; Deflation ; Prices, Business Fluctuations, and Cycles: Forecasting and Simulation: Models and Applications
• Subject: CPI ; inflation ; forecasts ; "bottom to top" ; Colombia

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Alonso, Julio César ; Rivera, Andrés Felipe
• Event: Veröffentlichung
• (who): Universidad Pablo de Olavide
• (where): Sevilla
• (when): 2017

Further information

• Handle: http://hdl.handle.net/10419/195414
• Last update: 10.03.2025, 11:42 AM CET