Número:
549
Publicado:
Clasificación JEL:
C13, C33, C53
Palabras clave:
Dynamic factor models, static factor models, forecast accuracy

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Lina Fernanda Torres-Gutierrez, Gonzalo Ossa-Stipcianos, Edwin Mauricio Parra-Rodriguez, Egberto Alexander Riveros, Alvaro José Martinez-Monroy, Julián Andrés Gomez-Duran, Juan Sebastián Rojas-Moreno
Gómez-Molina Andrés Camilo, Carlos Quicazán-Moreno, Hernando Vargas-Herrera
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