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Subnational Government Investment in Brazil: Estimation and Analysis by State Space Models

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  • Orair, Rodrigo Octávio
  • Silva, Wesley de Jesus

Abstract

There are many problems involved in estimating high frequency series for subnational governments. Space State Model (SSM) is a framework capable of handling some of these problems. The techniques that emerge from this approach are used to estimate monthly series for capital investments by subnational governments in Brazil during 2002-2011. SSM are also used to analyze the dynamic properties of time series. One of the most interesting results is the newly evidence of electoral cycles on investments of both municipalities and states in Brazil. These techniques might be easily generalized for other relevant series. The main objective of this work is to present a methodological framework for estimating and analyzing the development of high frequency series for Brazilians subnational governments. It offers a useful instrument for monitoring fiscal policy and for applied macroeconomic research.

Suggested Citation

  • Orair, Rodrigo Octávio & Silva, Wesley de Jesus, 2013. "Subnational Government Investment in Brazil: Estimation and Analysis by State Space Models," Brazilian Review of Econometrics, Sociedade Brasileira de Econometria - SBE, vol. 33(1), September.
    • Handle: RePEc:sbe:breart:v:33:y:2013:i:1:a:4076
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    2. Tommaso Proietti, 2006. "Temporal disaggregation by state space methods: Dynamic regression methods revisited," Econometrics Journal, Royal Economic Society, vol. 9(3), pages 357-372, November.
    3. Commandeur, Jacques J.F. & Koopman, Siem Jan, 2007. "An Introduction to State Space Time Series Analysis," OUP Catalogue, Oxford University Press, number 9780199228874, Decembrie.
    4. Durbin, James & Koopman, Siem Jan, 2012. "Time Series Analysis by State Space Methods," OUP Catalogue, Oxford University Press, edition 2, number 9780199641178.
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    6. Bernardo Patta Schettini & Raphael Rocha Gouvêa & Rodrigo Octávio Orair & Sérgio Wulff Gobetti, 2011. "Resultado Estrutural e Impulso Fiscal: Uma Aplicação Para as Administrações Públicas no Brasil, 1997-2010," Discussion Papers 1650, Instituto de Pesquisa Econômica Aplicada - IPEA.
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