Palestra: Real-time inflation forecasting with high-dimensional models: The case of Brazil

Dando continuidade ao Ciclo de Palestras do Programa de Pós-Graduação em Estatística do IM-UFRJ, nesta 4ª feira, 27/03/19, às 15:30, teremos no Laboratório de Sistemas Estocásticos (LSE), sala I-044b, a palestra do pesquisador: Gabriel Vasconcelos (PUC-RJ)

Resumo: We show that high-dimensional econometric models, such as shrinkage and complete subset regression, perform very well in the real-time forecasting of inflation in data-rich environments. We use Brazilian inflation as an application. It is ideal as an example because it exhibits a high short-term volatility, and several agents devote extensive resources to forecasting its short-term behavior. Thus, precise forecasts made by specialists are available both as a benchmark and as an important candidate regressor for the forecasting models. Furthermore, we combine forecasts based on model confidence sets and show that model combination can achieve superior predictive performances.

 Data: 27/03/2019
Horário: 15:30
Local: Sala I-044B

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