Abstract

PINCHEIRA, Pablo  and  GARCIA, Álvaro. En busca de un buen marco de referencia predictivo para la inflación en Chile. El trimestre econ [online]. 2012, vol.79, n.313, pp.85-123. ISSN 2448-718X.

In this article we analyze the accuracy and stability of short-run inflation forecasts for Chile coming from Extended Seasonal Arima (Esarima) models. We compare Esarima forecasts to those coming from surveys and traditional time series bench-marks available in the literature. Our results show that Esarima based forecasts display lower out-of-sample Mean Squared Prediction Error than forecasts coming from traditional benchmarks when the predictive horizon ranges from 1 to 4 months. At longer horizons, the worst models from the Esarima family are outperformed by the best univariate traditional benchmarks. We obtain opposite results when comparing Esarima outcomes to survey-based forecasts: the survey provides more accurate forecasts at every single horizon. Our results are, in general, statistically significant at usual confidence levels. We also notice that Esarima forecasts are more stable than traditional time series methods but less stable than survey-based forecasts.

Keywords : predicción de inflación; encuestas de expectativas; predicción fuera de muestra; evaluación predictiva; estacionalidad multiplicativa.