Typically, when forecasting inflation rates, there are a variety of individual models and a combination of several of these models. We implement a Bayesian shrinkage combination methodology to include information that is not captured by the individual models using expert forecasts as prior...

An application of Bayesian Model Averaging, BMA, is implemented to construct combined forecasts for the colombian inflation for the short and medium run. A model selection algorithm is applied over a set of linear models with a large dataset of potencial predictors using marginal as well as...

This paper contains the results of a non parametric multi-step ahead forecast for the monthly Colombian inflation, using Mean conditional Kernel estimation over inflation changes, with no inclusion of exogenous variables. The results are compared with those from an ARIMA and a nonlinear STAR....

In an economy conducted under an Inflation Targeting regime, the output gap becomes one of the most important variables to guide monetary policy. Defined as the difference between observed and potential or non-inflationary output, the gap is a measure of the state of aggregate demand and,...

Three methodologies of estimation of models with many predictors are implemented to forecast Colombian inflation. Two factor models, based on principal components, and partial least squares, as well as a Bayesian regression, known as Ridge regression are estimated. The methodologies are compared...

Este documento reporta los resultados de la estimaci´on de una versi´on reciente del modelo P-estrella de Gerlach y Svensson (2003) para Colombia (1980:I - 2005:IV) y sus predicciones. El modelo está diseñado para explicar la brecha de inflaci´on (tasa observada menos la meta) con base en...

Pronosticar la inflación de alimentos es uno de los grandes retos del Banco central, debido a la alta ponderación de los alimentos dentro del IPC y puesto que los rubros que conforman este grupo obedecen principalmente a factores de oferta que no son fácilmente predecibles ni reaccionan a la...

En países como Colombia en donde se sigue una estrategia de inflación objetivo es fundamental para el Banco Central contar con buenos modelos para pronosticar la inflación. En este documento se comparan los pronósticos de inflación obtenidos a partir de un modelo de Curva de Phillips usando...

A dynamic linear model for data revisions and delays is proposed. This model extends Jacobs & Van Norden's [13] in two ways. First, the "true" data series is observable up to a fixed period of time M. And second, preliminary figures might be biased estimates of the true series. Otherwise, the...

Preliminary and delayed Colombian GDP reports are replaced with optimal in-sample now-casts of "true" GDP figures derived from a model for data revisions. The new GDP time series is augmented with optimal out-of-sample forecasts and back-casts of the "true" GDP figures derived from the same...