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...

Full description

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