A Dynamic Factor Model for the Colombian Inflation Documento de trabajo uri icon

Abstracto

  • 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.

fecha de publicación

  • 2009-02

Palabras clave

  • Dynamic Factor Models
  • Forecast Accuracy
  • Static Factor Models

Número

  • 5273