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Índice De Atividade Econômica: Os Modelos De Filtro De Kalman E Box-Jenkins Comparados

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  • Vamerson Schwingel Ribeiro
  • Joilson Dias

Abstract

This paper has as objective to build a composite economic activity index for the local economy, created as form of measuring the economic activity. We use the factor analysis technique to determinate the components and their weights. This local index is then compared to national ones. As a result, the index behaves nicely as a local coincident index of the economic activities. Two techniques are used in their forecast; the first was the Kalman Filter and the second one the Box-Jenkins model. The presence of outliers required that we use a new technique in order the coefficients of the Kalman Filter model to be stable. The two techniques are then compared using a statistic test developed by Diebold and Mariano (1995). As a final result, the two models' forecasting are the same.

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Bibliographic Info

Paper provided by ANPEC - Associação Nacional dos Centros de Pósgraduação em Economia [Brazilian Association of Graduate Programs in Economics] in its series Anais do XXXII Encontro Nacional de Economia [Proceedings of the 32th Brazilian Economics Meeting] with number 103.

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Date of creation: 2004
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Handle: RePEc:anp:en2004:103

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  1. Francis X. Diebold & Robert S. Mariano, 1994. "Comparing Predictive Accuracy," NBER Technical Working Papers 0169, National Bureau of Economic Research, Inc.
  2. Spacov, Andrei Dudus & Duarte, Angelo José Mont'Alverne & Issler, João Victor, 2004. "Indicadores coincidentes de atividade econômica e uma cronologia de recessões para o Brasil," Economics Working Papers (Ensaios Economicos da EPGE) 527, FGV/EPGE Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil).
  3. Robert J. Hodrick & Edward Prescott, 1981. "Post-War U.S. Business Cycles: An Empirical Investigation," Discussion Papers 451, Northwestern University, Center for Mathematical Studies in Economics and Management Science.
  4. Granger, C W J, 1969. "Investigating Causal Relations by Econometric Models and Cross-Spectral Methods," Econometrica, Econometric Society, vol. 37(3), pages 424-38, July.
  5. Lin, Dennis K. J. & Guttman, Irwin, 1993. "Handling spuriosity in the Kalman filter," Statistics & Probability Letters, Elsevier, vol. 16(4), pages 259-268, March.
  6. Victor Zarnowitz, 1993. "What is a Business Cycle?," NBER Working Papers 3863, National Bureau of Economic Research, Inc.
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