Penalised regressions vs. autoregressive moving average models for forecasting inflation

This article relates the Seasonal Autoregressive Moving Average Models (SARMA) to linear regression. Based on this relationship, the paper shows that penalized linear models can outperform the out-of-sample forecast accuracy of the best SARMA models in forecasting inflation as a function of past val...

Full description

Autores:
Ospina-Holguín, Javier Humberto
Padilla Ospina, Ana Milena
Tipo de recurso:
Article of journal
Fecha de publicación:
2019
Institución:
Corporación Universidad de la Costa
Repositorio:
REDICUC - Repositorio CUC
Idioma:
eng
OAI Identifier:
oai:repositorio.cuc.edu.co:11323/6279
Acceso en línea:
https://hdl.handle.net/11323/6279
https://doi.org/10.17981/econcuc.41.1.2020.Econ.3
https://repositorio.cuc.edu.co/
Palabra clave:
Ridge regression
Penalised linear model
ARMA
SARMA
Inflation forecasting
Regresión de arista
Modelo lineal penalizado
Pronóstico de la inflación
Rights
openAccess
License
CC0 1.0 Universal