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Estimación de la volatilidad de la inflación en presencia de observaciones atípicas y heteroscedasticidad condicional

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  • Lorenzo, Fernando

Abstract

En este trabajo se analizan las implicaciones que tiene la presencia de observaciones atípicas y heteroscedasticidad condicional en series temporales con características similares a las observadas en las series mensuales de IPC de los países del G-7. Se rea1izan estimaciones del nivel y la volatilidad de la inflación para estas economías y se discuten algunos de los problemas que presenta la investigación aplicada de la relación entre el nivel y la volatilidad de la inflación. Los resultados empíricos indican que en la mayor parte de las series del IPC del G-7 se detecta simultáneamente la presencia de observaciones atípicas y heteroscedasticidad condicional y que las estimaciones de volatilidad condicional rea1izadas son sensibles a la presencia de observaciones atípicas. Se observa que la dependencia temporal encontrada en la varianza condicional es duradera y que la línea de causalidad iría desde el nivel a la volatilidad de la inflación.

Suggested Citation

  • Lorenzo, Fernando, 1997. "Estimación de la volatilidad de la inflación en presencia de observaciones atípicas y heteroscedasticidad condicional," DES - Documentos de Trabajo. Estadística y Econometría. DS 3648, Universidad Carlos III de Madrid. Departamento de Estadística.
    • Handle: RePEc:cte:dsrepe:3648
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    References listed on IDEAS

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    Heteroscedasticidad condicional;

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