Modelos de VAR alternativos para pronósticos (VAR bayesianos y FAVAR): el caso de las exportaciones argentinas

• Autor: Lanteri, Luis
• Formato: artículo
• Fecha de Publicación: 2010
• Institución: Pontificia Universidad Católica del Perú
• Repositorio: PUCP-Institucional
• Lenguaje: español
• OAI Identifier: oai:repositorio.pucp.edu.pe:20.500.14657/117477
• Enlace del recurso: http://revistas.pucp.edu.pe/index.php/economia/article/view/795/761; https://doi.org/10.18800/economia.201002.002
• Nivel de acceso: acceso abierto
• Materia: Exportaciones; Var-Bayesianos (bvar); Favar (factor-aumentado Var); Capacidad de Pronóstico; https://purl.org/pe-repo/ocde/ford#5.02.01

Exports are one of the key aggregates in the Argentina’s economy, both because to its links with the domestic demand and by its influence on the behaviour of the trade balance and current account. Have adequate forecasts for this variable is useful to design policies to keep surpluses in the external sector and prevent recurring crises seen in the past. In this work, we considered some models for forecasting the performance of this aggregate, which could be an alternative to the estimation of structural econometric models. For this purpose, we used two approaches: the first is based instandard and Bayesian VARs (Minnesota prior, Gibbs sampler, partial BVAR and BVAR-Kalman). The latter combines the evidence in the data with any prior information that may also be available. Thesecond approach considers the FAVAR (Factor-augmented VAR) models, which combines the standard VAR with factor analysis. Finally, we evaluated the forecasting ability of different models.