Penalised regressions vs. autoregressive moving average models for forecasting inflation
This paper relates seasonal autoregressive moving average (SARMA) models with linear regression. Based on this relation, the paper shows that penalised linear models may surpass the out-of-sample forecasting accuracy of the best SARMA models when forecasting inflation based on past values, due to pe...
- Autores:
-
Ospina-Holguín, Javier Humberto
Ospina-Holguín, Ana Milena
- Tipo de recurso:
- Article of journal
- Fecha de publicación:
- 2020
- Institución:
- Corporación Universidad de la Costa
- Repositorio:
- REDICUC - Repositorio CUC
- Idioma:
- eng
- OAI Identifier:
- oai:repositorio.cuc.edu.co:11323/11900
- Acceso en línea:
- https://hdl.handle.net/11323/11900
https://doi.org/10.17981/econcuc.41.1.2020.Econ.3
- Palabra clave:
- Ridge regression
Penalised linear model
ARMA
SARMA
Inflation forecasting
Regresión de arista
Modelo lineal penalizado
ARMA
SARMA
Pronóstico de la inflación
- Rights
- openAccess
- License
- Javier Humberto Ospina-Holguín, Ana Milena Ospina-Holguín - 2020