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Forecasting business and economic time series with overdifferenced models

Listed author(s):
  • Nuno Crato

    (ISEG – Instituto Superior de Economia e Gestão, Universidade Técnica de Lisboa)

A metodologia de Box -Jenkins e os modelos ARIMA têm sido largamente utilizados em problemas de economia e de gestão, tanto para modelizar como para prever sucessões cronológicas. Um ponto crítico desses modelos consiste na possibilidade de tirar diferenças aos dados em grau exagerado. Essa prática, ao contrário do que em geral se acredita, tem consequências nefastas na previsão. Neste trabalho sugerimos um teste espectral como instrumento de decisão a aplicar a dados económicos ou financeiros. O teste é ilustrado com a previsão de taxas de câmbio.

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Article provided by ISEG, Universidade de Lisboa in its journal Estudos de Gestão.

Volume (Year): I (1993/94)
Issue (Month): 2 ()
Pages: 77-82

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Handle: RePEc:pjm:journl:v:i:y:1993:i:2:p:77-82
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