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Forecasting Quarterly Brazilian GDP Growth Rate With Linear and NonLinear Diffusion Index Models

  • Roberto Tatiwa Ferreira

    (UFC)

  • Herman Bierens

    (Pennsylvania State University, U. S. A.)

  • Ivan Castelar

    (UFC)

This 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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File URL: http://www.anpec.org.br/revista/vol6/vol6n3p261_292.pdf
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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): 6 (2005)
Issue (Month): 3 ()
Pages: 261-292

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Handle: RePEc:anp:econom:v:6:y:2005:i:3:p:261-292
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  1. Stock, J.H. & Watson, M.W., 1989. "New Indexes Of Coincident And Leading Economic Indicators," Papers 178d, Harvard - J.F. Kennedy School of Government.
  2. James H. Stock & Mark W. Watson, 1998. "Diffusion Indexes," NBER Working Papers 6702, National Bureau of Economic Research, Inc.
  3. Michael P. Clements & David F. Hendry, 2001. "Forecasting Non-Stationary Economic Time Series," MIT Press Books, The MIT Press, edition 1, volume 1, number 0262531895, June.
  4. Hansen, B.E., 1991. "Inference when a Nuisance Parameter is Not Identified Under the Null Hypothesis," RCER Working Papers 296, University of Rochester - Center for Economic Research (RCER).
  5. Marcelle Chauvet & Elcyon C.R. Lima & Brisne Vasquez, 2002. "Forecasting Brazilian output in the presence of breaks: a comparison of linear and nonlinear models," Working Paper 2002-28, Federal Reserve Bank of Atlanta.
  6. Bruce E. Hansen, 2000. "Sample Splitting and Threshold Estimation," Econometrica, Econometric Society, vol. 68(3), pages 575-604, May.
  7. Geweke, John & Zhou, Guofu, 1996. "Measuring the Pricing Error of the Arbitrage Pricing Theory," Review of Financial Studies, Society for Financial Studies, vol. 9(2), pages 557-87.
  8. Diebold, Francis X., 1989. "Forecast combination and encompassing: Reconciling two divergent literatures," International Journal of Forecasting, Elsevier, vol. 5(4), pages 589-592.
  9. Stock, James H & Watson, Mark W, 1996. "Evidence on Structural Instability in Macroeconomic Time Series Relations," Journal of Business & Economic Statistics, American Statistical Association, vol. 14(1), pages 11-30, January.
  10. Mario Forni & Marc Hallin & Marco Lippi & Lucrezia Reichlin, 2000. "The Generalized Dynamic-Factor Model: Identification And Estimation," The Review of Economics and Statistics, MIT Press, vol. 82(4), pages 540-554, November.
  11. Connor, Gregory & Korajczyk, Robert A, 1993. " A Test for the Number of Factors in an Approximate Factor Model," Journal of Finance, American Finance Association, vol. 48(4), pages 1263-91, September.
  12. Marc Brisson & Bryan Campbell & John Galbraith, 2001. "Forecasting Some Low-Predictability Time Series Using Diffusion Indices," CIRANO Working Papers 2001s-46, CIRANO.
  13. Stock, James H & Watson, Mark W, 2002. "Macroeconomic Forecasting Using Diffusion Indexes," Journal of Business & Economic Statistics, American Statistical Association, vol. 20(2), pages 147-62, April.
  14. Geweke, John F & Singleton, Kenneth J, 1981. "Maximum Likelihood "Confirmatory" Factor Analysis of Economic Time Series," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 22(1), pages 37-54, February.
  15. Forni, Mario & Reichlin, Lucrezia, 1995. "Let's Get Real: A Dynamic Factor Analytical Approach to Disaggregated Business Cycle," CEPR Discussion Papers 1244, C.E.P.R. Discussion Papers.
  16. Hamilton, James D, 1989. "A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle," Econometrica, Econometric Society, vol. 57(2), pages 357-84, March.
  17. repec:cup:cbooks:9780521632423 is not listed on IDEAS
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