Forecasting Quarterly Brazilian GDP Growth Rate With Linear and NonLinear Diffusion Index Models
AbstractThis paper uses linear and non-linear diffusion index models and combination of them to produce one-step-ahead forecast of quarterly Brazilian GDP growth rate. The non-linear diffusion index models are not only parsimonious ones, but they also purport to describe economic cycles through a Threshold diffusion index model and a Markov-Switching diffusion index model.
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Bibliographic InfoArticle provided by ANPEC - Associação Nacional dos Centros de Pósgraduação em Economia [Brazilian Association of Graduate Programs in Economics] in its journal Economia.
Volume (Year): 6 (2005)
Issue (Month): 3 ()
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Postal: Secretaria da ANPEC Rua Tiradentes, 17 - Ingá Niterói, RJ 24210-510 Brazil
Other versions of this item:
- Roberto Tatiwa Ferreira & Luiz Ivan de Melo Castelar, 2005. "Forecasting Quarterly Brazilian Gdp Growth Rate With Linear And Nonlinear Diffusion Index Models," Anais do XXXIII Encontro Nacional de Economia [Proceedings of the 33th Brazilian Economics Meeting] 029, ANPEC - Associação Nacional dos Centros de Pósgraduação em Economia [Brazilian Association of Graduate Programs in Economics].
- E37 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Forecasting and Simulation: Models and Applications
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