Borradores de Economia
Número:
549
Publicado:
Clasificación JEL:
C13, C33, C53
Palabras clave:
Dynamic factor models, static factor models, forecast accuracy
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Zhibiao Zhao, Manuel Darío Hernández-Bejarano
Nicol Valeria Rodríguez-Rodríguez, Sebastián Quintero-Uribe, Johanna Barbosa-Buitrago
Daniel Herrera-Araujo, Jorge Florez-Acosta
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