Índice De Atividade Econômica: Os Modelos De Filtro De Kalman E Box-Jenkins Comparados
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.
|Date of creation:||2004|
|Date of revision:|
|Contact details of provider:|| Postal: |
Phone: 55 21 2709 7154
Web page: http://www.anpec.org.brEmail:
More information through EDIRC
|Order Information:|| Postal: Secretaria da ANPEC Rua Tiradentes, 17 - Ingá Niterói, RJ 24210-510 Brazil|
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- 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.
- Robert J. Hodrick & Edward Prescott, 1981.
"Post-War U.S. Business Cycles: An Empirical Investigation,"
451, Northwestern University, Center for Mathematical Studies in Economics and Management Science.
- Hodrick, Robert J & Prescott, Edward C, 1997. "Postwar U.S. Business Cycles: An Empirical Investigation," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 29(1), pages 1-16, February.
- Diebold, Francis X & Mariano, Roberto S, 1995.
"Comparing Predictive Accuracy,"
Journal of Business & Economic Statistics,
American Statistical Association, vol. 13(3), pages 253-63, July.
- Francis X. Diebold & Robert S. Mariano, 1994. "Comparing Predictive Accuracy," NBER Technical Working Papers 0169, National Bureau of Economic Research, Inc.
- Tom Doan, . "DMARIANO: RATS procedure to compute Diebold-Mariano Forecast Comparison Test," Statistical Software Components RTS00055, Boston College Department of Economics.
- 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).
- Victor Zarnowitz, 1991. "What is a Business Cycle?," NBER Working Papers 3863, National Bureau of Economic Research, Inc.
- Lin, Dennis K. J. & Guttman, Irwin, 1993. "Handling spuriosity in the Kalman filter," Statistics & Probability Letters, Elsevier, vol. 16(4), pages 259-268, March.
When requesting a correction, please mention this item's handle: RePEc:anp:en2004:103. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Hugo E. A. da Gama Cerqueira)
If references are entirely missing, you can add them using this form.