Indicadores Coincidentes para a Atividade Industrial Brasileira Baseado em Modelos Vetoriais Auto-Regressivos de Freqüência Mista: comparação de metodologias
Very useful information, usually ignored, for construction of coincident index is the target quarterly series itself. This can be very inefficient because typically the monthly coincident series keep just high economical correlation, not always tested, with the quarterly target series. Actually, the construction of a mixed-frequency coincident index is statistically complicated. On the ground that, Mariano e Murasawa presented a new methodology, in which this information is aggregated, and the quarterly variable is assumed as a latent variable observed just every three months. In this fashion, is implicitly assumed that the monthly GDP not observed represents the state of industrial economy. Usually a common factor is imposed, as in the Stock-Watson approach. Another possible approach more attractive is not to impose any common factor and instead, like Mariano e Murosawa, to build a mixed frequency VAR model without common factor. In this work we compare the performance in-sample of the mixed frequency VAR model for building coincident indicator with others approaches, dating the business cycle for industrial activity with Bry-Boschan procedure.
|Date of creation:||Jul 2006|
|Date of revision:|
|Contact details of provider:|| Postal: SBS - Quadra 01 - Bloco J - Ed. BNDES, Brasília, DF - 70076-90|
Web page: http://www.ipea.gov.br
More information through EDIRC
When requesting a correction, please mention this item's handle: RePEc:ipe:ipetds:1198. 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: (Fabio Schiavinatto)
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.