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...
- 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