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Browsing Documentos de Trabajo by Subject "C11- Análisis bayesiano"
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- Combinación de estimaciones del producto potencial con un método bayesianoIn this paper, we calculated the potential output for the Costa Rican economy. First, we applied several different methods to calculate this non-observable variable, such as the Beveridge-Nelson decomposition, Hodrick-Prescott filter, production function, Kalman filter, and SVAR. Then, we combined the results of these methods using Bayesian Model Averaging (BMA) and a Phillips curve. Finally, we obtained optimal weights for each estimated potential product and estimated an indicator of the potential output series.
- Pronósticos de inflación mediante técnicas bayesianasThe effectiveness of monetary policy under inflation targeting scheme proposed by the Central Bank of Costa Rica is based in the correct and timely forecast of inflation in order to design the best monetary policy actions. The purpose of this study is to develop a complementary tool to forecast inflation using a Bayesian approach. To that end, we estimate the methodologies of Bayesian Model Averaging and Weighted Average Least Squares. This forecast allows expanding and complementing the analysis actually estimated with the Macroeconomic Quarterly Projection Model (MQPM) of the Central Bank of Costa Rica. From the results of this evaluation, we show that for monthly data and forecast horizons from 1 to 12 months, you may find forecast by a Bayesian process that have greater predictive performance than the autoregressive model.