Ìndice de Atividade Econômica: Construção e Testes de Previsão dos Modelos de Filtro de Kalman e Box-Jenkins

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Ìndice de Atividade Econômica: Construção e Testes de Previsão dos Modelos de Filtro de Kalman e Box-Jenkins

Author Info

Vamerson Schwingel Ribeiro (UEM)
Joilson Dias (UEM)

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Abstract

This paper has as objective to present a practical method for building a composite economic activity index for local economies. As an example, the index was built using data for the city of Maringá-PR. In its development we employed factor analysis technique to find the principal components considering their common factor in order to build the index. This local index is then compared to national ones. As a result we found that national indexes move first comparative to our local index. Thus, the forecast of our local index should anticipate future economic changes. Two techniques are used in forecasting the local index; the first was the Kalman Filter and the second one the Box-Jenkins. The presence of outliers required that we use the technique proposed by Lin e Guttman (1993) in order to obtain stable coefficients for the Kalman Filter model. The two techniques are then compared using a statistic test developed by Diebold e Mariano (1995). As a final result the two models’ forecasting results showed to be equivalent.

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Publisher Info
Article provided by ANPEC - Associação Nacional dos Centros de Pósgraduação em Economia [Brazilian Association of Graduate Programs in Economics] in its journal Economia.

Volume (Year): 7 (2006)
Issue (Month): 3 ()
Pages: 453-483
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Handle: RePEc:anp:econom:v:7:y:2006:i:3:p:453-483

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Find related papers by JEL classification:
C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions
C43 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Index Numbers and Aggregation
C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Other Model Applications

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This page was last updated on 2009-11-17.

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