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Pronóstico del Consumo Privado: Usando datos de alta frecuencia para el pronóstico de variables de baja frecuencia

Author

Listed:
  • Gustavo Adolfo HERNANDEZ DIAZ
  • Margarita MARÍN JARAMILLO

Abstract

Uno de los componentes más importantes del PIB es el consumo de los hogares, por lo cual el pronóstico de esta variable es clave para poder evaluar y predecir el comportamiento de la actividad económica. En este trabajo se introducen dos elementos innovadores para su predicción, primero se incorpora dentro de la función de consumo el índice de confianza al consumidor, con el fin de involucrar un indicador líder del comportamiento de los consumidores y el segundo es el uso de metodologías econométricas en las que se incorporan series de alta frecuencia para el pronóstico de series de baja frecuencia, con el fin de no perder información que pueda ser valiosa. Se encuentra que el pronóstico dentro de la muestra ha sido bastante cercano a los datos reales, aunque los intervalos de confianza del pronóstico pueden ser amplios.

Suggested Citation

  • Gustavo Adolfo HERNANDEZ DIAZ & Margarita MARÍN JARAMILLO, 2016. "Pronóstico del Consumo Privado: Usando datos de alta frecuencia para el pronóstico de variables de baja frecuencia," Archivos de Economía 14828, Departamento Nacional de Planeación.
    • Handle: RePEc:col:000118:014828
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    References listed on IDEAS

    as
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    More about this item

    Keywords

    Consumo Privado; Pronósticos; Modelos Bridge; MIxed DAta Sample (MIDAS);
    All these keywords.

    JEL classification:

    • C38 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Classification Methdos; Cluster Analysis; Principal Components; Factor Analysis
    • C67 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Input-Output Models
    • E01 - Macroeconomics and Monetary Economics - - General - - - Measurement and Data on National Income and Product Accounts and Wealth; Environmental Accounts
    • Y - Miscellaneous Categories
    • B51 - Schools of Economic Thought and Methodology - - Current Heterodox Approaches - - - Socialist; Marxian; Sraffian

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