Banco Central de Costa Rica

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Quantitative Methods

 

 

Title

Description

Year

JEL

Type of File

Seasonal Adjustment of Economic Series with Tramo-Seats and Census X-12 ARIMA (Spanish)

Time series methods of seasonal adjustment provided by Tramo-Seats and Census X12- ARIMA are compared . Both of these softwares may be downloaded online free of charge (SP)

2005 

C10, C88

Working Paper

Notes on the Use of the TSP Econometric Package (Spanish)

The basic steps to estimate an autoregressive vector system and their subsequent use in forecasting are presented here using the econometrics TSP software (SP)

1996

C10, C88

Working Paper

Conceptual Aspects about Time Series (Spanish)

Some conceptual aspects about time series and extraction methods are summarized here. Topics are presented in a simple, user-friendly manner, and some bibliographical references are included for consultation for those wishing to study a topic in more depth (SP)

2002

C10

Working Paper

Theoretical Aspects about some Econometric Issues (Spanish)

A summary of some of the most common issues found with the ordinary least squares, such as autocorrelation, multicollinearity, and heteroscedasticity, as well as some special topics such as integration, cointegration, error correction models, cointegration according to the Johansen approach, autoregressive vectos, and the Kalman filter. (SP)

2003

C10

Working Paper

Calculating Type II- Error (Spanish)

Consequences of adopting confidence levels as a pattern for decision making are analyzed in depth (type I error), with the potential for error by accepting as being good an actually false hypothesis (type II error).

1995

C10

Working Paper

Source Code for Software Used in the Latest Combinations of Inflation Forecasts (Spanish)

Source code used to generate rolling inflation forecasts based on projection models used by BCCR, as well as the code used to obtain combinations of such forecasts (SP)

2009

C10

Working Paper

Combined estimation of the potential product with a Bayesian Method

In this paper, we calculated the potential output for the Costa Rican economy. First, we applied several di_erent methods to calculate this non-observable variable, such as the Beveridge-Nelson decomposition, Hodrick-Prescott _lter, production function, Kalman _lter, and SVAR. Then, we combined the results of these methods using Bayesian Model Averaging (BMA) and a Phillips curve. Finally, we obtained optimal weights for each estimated potential product and, estimated an indicator of the potencial output series.

2015

C11, C32, E50

Investigation document

Quality Control of Numbers Included in an Excell Sheet (Spanish)

When working with large amounts of data in Excel, it may be useful to have a quality control system for numbers so as to detect any potentially abnormal values. Some of these are suggested in this document (SP)

2001

C8

Working Paper

Quality Control of Data in Economic Time Series (Spanish)

The TERROR command from TRAMO SEATS software is studied here, to illustrate the potential of this application in the context of systematization in data auditing, thereby improving the quality of information used (SP)

2002

C4, C8

Working Paper

Designing a Relevant International Production (Spanish)

An indicator of the world's production volume relevant for Costa Rica's economy is presented. This indicator provides a new proxy variable on the trend and variability of the international GDP, so as to help explain the behavior of exports (SP)

2011

C43, C80

Working Paper

Temporary Disaggregation Methods Using Indicators (Spanish)

A temporary disaggregation exercise of annual value added series is conducted using constants of the transportation, warehousing, and communications industries (SP)

2012

Working Paper

The Baxter-King Filter: Methodology and Uses (Spanish)

The Baxter-King filter method is briefly presented as an useful tool to extract trends in a time series, and to analyze economic cycles. The mathematical properties of this filter are reviewed.

2000

C10

Working Paper

The Hodrick-Prescott Filter (Spanish)

Theoretical aspects on the Hodrick-Prescott filter method for time series are presented, along with a comparative analysis of their performance vis-á-vis other trend exctraction methods (SP)

1994

C49, C65

Working Paper

Estimates on Standardized Regression Coefficients (Spanish)

This document explains how standard coefficients are obtained and interpreted in a regression, using Econometrics software Eviews (SP)

2003

C20, C49

Working Paper

Estimación del parámetro de suavizamiento del filtro de Hodrick y Prescott para Costa Rica (Spanish)

Se estima parámetros de suavizamiento específicos para Costa Rica para su uso en el filtro Hodrick-Prescott, mediante metodología de Marcet y Ravn (2003) y con datos al 2010 (SP)

2011

C49, C65

Working Paper

Estimation of the Hodrick and Prescott filter smoothing parameter for Costa Rica

Smoothing parameters specific to Costa Rica are estimated, for application of the Hodrick-Prescott filter, through Marcet y Ravn (2003) method and with data up to 2010.

2011

C49, C65

Documento de Trabajo

Assessing the Use of Econometrics in Economic Analysis (Spanish)

An outline on the Lucas critique on macroeconomic models is presented (SP)

1996

C01, C50

Working Paper

The Kalman Filter (Spanish)

Recursive estimation method with the Kalman filter is presented, including its advantages and disadvantages, and is illustrated with data on Costa Rica (SP)

2003

C13, C32, C51

Working Paper

Implementing the RMSM-X Model for Costa Rica (Spanish)

Progress Report on implementation of a structural model by the World Bank (RXSM-X) and the case of Costa Rica (SP)

2001

B4

Working Paper

Quantitative Methods

Quantitative Methods

Investment Confidence Index according to Economy Analysts (Spanish)

General uses of confidence indices are presented in this document. A method is proposed to calculate theInvestors Confidence Index for Costa Rica (SP)

2005

C80, C81, C83

Working Paper

Bayesian Inferences and Exchange Rate Bands (Spanish)

The main Bayesian theory postulates are discussed, including examples of how they are applied in an exchange rate policy context where the subjective perception of each expert may produce different results (SP)

1996

C11, F31

Working Paper

Introduction to Numerical Methods (Spanish)

Some numerical solution algorithms are explained that are applicable to non-linear equations and equation systems. Implementation of some of them with the software Mathematica is presented in an annex (SP)

2009

C61, C63, C65

Working Paper

Introduction to Unit Roots in Econometric Modeling (Spanish)

Slide presentation. The main concepts related to seasonality and series unit roots are presented, as well as some frequently used unit root tests.

2008

C01, C22, C32

Working Paper

VAR and VECM Models (Spanish)

VAR and VECM models to forecast short-term imports for Costa Rica. These models are compared with an ARIMA model used at the time of the estimate (SP)

2004

C1, C3, C5

Working Paper

Guidelines for Building a Statistical Questionnaire (Spanish)

Basic guidelines --both in form and in content-- to be considered when developing a statistical questionnaire are presented in this document (SP)

1995

C80, C83

Working Paper

Main Indicators for Linear Regression Analysis (Spanish)

Material for consultation. A list of econometric indicators usually considered with drawing up a diagnostic analysis on the linear regression through ordinary minimum squares (SP)

2003

C10, C12, C52

Working Paper

Procedure to Apply Unit Root Tests (Spanish)

A performance evaluation of several unit root tests is presented through Monte Carlo simulations, so as to propose a testing and conclusion protocol for use by BCCR's Economic Research Department (SP)

2009

C12, C63

Working Paper

Forecasting Costa Rican Quarterly Growth with Mixed-frequency Models

We assess the utility of mixed-frequency models to forecast the quarterly growth rate of Costa Rican real GDP. To that end, we estimate bridge and MiDaS models using information of the IMAE, we compute forecasts for several horizons and evaluate their performance.

2014

Research document

Forecasting Inflation by Bayesian techniques

The effectiveness of monetary policy under inflation targeting scheme proposed by the Central Bank of Costa Rica is based in the correct and timely forecast of inflation in order to design the best monetary policy actions. The purpose of this study is to develop a complementary tool to forecast inflation using a Bayesian approach. To that end, we estimate the methodologies of "Bayesian Model Averaging" and "Weighted Average Least Squares". This forecast allows expanding and complementing the analysis actually estimated with the Macroeconomic Quarterly Projection Model (MQPM) of the Central Bank of Costa Rica. From the results of this evaluation, we show that for monthly data and forecast horizons from 1 to 12 months, you may find forecast by a Bayesian process that have greater predictive performance than the autoregressive model.

2015

C22, C11, E27

Investigation document

Diagnostic Tests, Co-Integration, Error Correction Models (Spanish)

Slide presentation. Foundations of the main cointegration tests are explained, and an estimate of cointegration relations, in addition to some exogeneity tests. Examples used were taken from all contents (SP)

2008

C12, C22, C32

Working Paper

CUSUM and Square CUSUM Stability Tests (Spanish)

The theoretical foundations of CUSUM and square CUSUM stability tests are presented (SP)

1996

C12, C22, C32

Working Paper

Extended Granger Tests (Spanish)

The method to apply the Granger causality test is presented in this document. It is also implemented using the SHAZAM econometrics software (SP)

1995

C12, C22, C33

Working Paper

Unit Root Test with Structural Change by Lee and Strazicich (Spanish)

Theoretical foundations of unit root changes with structural change by Lee and Strazicich are presented in this paper, and their use is illustrated with RATS econometrics software (SP).

2009

C12, C22, C32

Working Paper

Seemingly Unrelated Regressions (SUR) (Spanish)

The equation system estimation method by means of apparently unrelated regressions is presented. This is then applied to non-traditional export modeling for Costa Rica (SP)

1996

C30

Working Paper

The Panel Data Technique: A Guide for its Use and Interpretation (Spanish)

Brief presentation on fixed and random effect models, also including an illustration on the TSP software for their estimation (SP)

2000

C23, C33

Research Document

Multivariate Analysis Testing (Spanish)

Outline on several multivariate analysis, including major components, factorial analysis, discriminant analysis, and analysis of conglomerates (SP)

1995

C40

Working Paper

Recursive Approaches to Estimate Regression Coefficients (Spanish)

Brief summary on the basic aspects of three recursive estimate methods --rolling regressions, rolling windows, and Kalman filter (SP)

2003

C13, C20

Working Paper

Using the Kalman Filter to Estimate Trends in a Series (Spanish)

Brief note on the Kalman filter estimation method, including an applied example (SP)

2003

C13, C20

Working Paper

 

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