Modelos de regresión para el pronóstico de series temporales con estacionalidad creciente
Regression Models for Time Series with Increasing Seasonality
Sergio David Madrigal Espinoza
División de Estudios de Posgrado, FIME, UANL, San Nicolás de los Garza, NL, México. sergio.madrigales@uanl.edu.mx
]]>Article received on 16/09/2013.
Accepted on 01/09/2014.
Resumen
Se compara el desempeño de tres modelos de regresión, en términos de su efectividad predictiva, para el caso de series temporales con estacionalidad creciente. Se emplearon 617 series en el cotejo así como tres modelos de los cuales, uno es propuesta original de este trabajo. Adicionalmente, se compararon estos modelos contra uno de raíces unitarias, típicamente empleado para el pronóstico de las series de interés. Entre los resultados más importantes, se muestra que la efectividad de los modelos de regresión dependerá del horizonte de pronóstico así como del grado de su curvatura. A menor curvatura y mayor horizonte, mejor será su desempeño. Se mostrarán las condiciones bajo las cuales, los modelos de regresión pueden pronosticar tan bien o incluso mejor que la alternativa típica. Por último, se realiza un análisis de los intervalos de predicción y sobre cómo mejorar su efectividad.
Palabras clave: Modelos de regresión, series temporales, estacionalidad, econometría.
Abstract
In this paper, three regression models are compared according to their performance in terms of forecast accuracy, for the case of time series with increasing seasonality. 617 series are used in the comparison as well as three models, being one of them an original contribution of this work. In addition, the regression models are compared with the autoregressive approach, commonly used in the forecast of these series. The results indicate that the performance of the regression models depends on the forecast horizon and on the degree of curvature of the series. At fewer curvature and longer forecast horizon, its performance is better. The conditions under which the regression models outperform the autoregressive approach are discussed. Also, the performance of the prediction intervals in order to improve its effectiveness is analyzed.
]]> Keywords: Regression models, time series, seasonality, econometrics.
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