English, Article edition: Ìndice de Atividade Econômica: Construção e Testes de Previsão dos Modelos de Filtro de Kalman e Box-Jenkins Vamerson Schwingel Ribeiro; Joilson Dias

User activity

Share to:
 
Bookmark: http://trove.nla.gov.au/version/125340
Physical Description
  • article
Language
  • English

Edition details

Title
  • Ìndice de Atividade Econômica: Construção e Testes de Previsão dos Modelos de Filtro de Kalman e Box-Jenkins
Author
  • Vamerson Schwingel Ribeiro
  • Joilson Dias
Physical Description
  • article
Notes
  • This paper has as objective to present a practical method for building a composite economic activity index for local economies. As an example, the index was built using data for the city of Maringá-PR. In its development we employed factor analysis technique to find the principal components considering their common factor in order to build the index. This local index is then compared to national ones. As a result we found that national indexes move first comparative to our local index. Thus, the forecast of our local index should anticipate future economic changes. Two techniques are used in forecasting the local index; the first was the Kalman Filter and the second one the Box-Jenkins. The presence of outliers required that we use the technique proposed by Lin e Guttman (1993) in order to obtain stable coefficients for the Kalman Filter model. The two techniques are then compared using a statistic test developed by Diebold e Mariano (1995). As a final result the two models’ forecasting results showed to be equivalent.
  • Ìndice de Atividade Econômica, Filtro de Kalman, ARIMA, Box-Jenkins
  • RePEc:anp:econom:v:7:y:2006:i:3:p:453-483
Language
  • English
Contributed by
OAIster

Get this edition

Other links

  • Set up My libraries

    How do I set up "My libraries"?

    In order to set up a list of libraries that you have access to, you must first login or sign up. Then set up a personal list of libraries from your profile page by clicking on your user name at the top right of any screen.

  • All (1)
  • Unknown (1)
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.

User activity


e.g. test cricket, Perth (WA), "Parkes, Henry"

Separate different tags with a comma. To include a comma in your tag, surround the tag with double quotes.

Be the first to add a tag for this edition

Be the first to add this to a list

Comments and reviews

What are comments? Add a comment

No user comments or reviews for this version

Add a comment