TY - JOUR
T1 - A Bayesian structural time series approach to forecast Mexico’s consumer index
AU - García-Meza, Mario A.
AU - Venegas-Martínez, Francisco
N1 - Publisher Copyright:
© 2018, ASERS Publishing House. All rights reserved.
PY - 2018
Y1 - 2018
N2 - A Bayesian structural time series model is used to forecast the current value of the consumption index in Mexico, where correlated searches in Google's search engine are used to determine the weekly value of the index. Mexico’s Institute of Statistics and Geography releases the consumer index, along with other important macroeconomic variables, in a three-month span from their recollection. This can be improved by using information that is readily available just a few days from the end of each month to create an estimate with Bayesian methods. For this we set the time series model in state space mode, which allows us to use a big set of regressors as predictors of the current value of Mexico’s consumer index. The main finding is that the use of the search queries improves significantly the accuracy of prediction.
AB - A Bayesian structural time series model is used to forecast the current value of the consumption index in Mexico, where correlated searches in Google's search engine are used to determine the weekly value of the index. Mexico’s Institute of Statistics and Geography releases the consumer index, along with other important macroeconomic variables, in a three-month span from their recollection. This can be improved by using information that is readily available just a few days from the end of each month to create an estimate with Bayesian methods. For this we set the time series model in state space mode, which allows us to use a big set of regressors as predictors of the current value of Mexico’s consumer index. The main finding is that the use of the search queries improves significantly the accuracy of prediction.
KW - Bayesian structural time series
KW - Consumption index
KW - Forecasting
KW - State space models
UR - http://www.scopus.com/inward/record.url?scp=85052854290&partnerID=8YFLogxK
M3 - Artículo
SN - 1843-6110
VL - 13
SP - 615
EP - 626
JO - Journal of Applied Economic Sciences
JF - Journal of Applied Economic Sciences
IS - 3
ER -