A Dynamic Factor Model for the Colombian Inflation

Borradores de Economia
Number: 
549
Published: 
Classification JEL: 
C13, C33, C53
Keywords: 
Human capital agglomeration, Social returns, Private returns, Externalities, Uncertainty, Fiscal policy
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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 for