Ìndice de Atividade Econômica: Construção e Testes de Previsão dos Modelos de Filtro de Kalman e Box-Jenkins

Vamerson Schwingel Ribeiro () and Joilson Dias ()

Economia, 2006, vol. 7, issue 3, pages 453-483

Abstract: 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.

Keywords: Ìndice de Atividade Econômica; Filtro de Kalman; ARIMA; Box-Jenkins (search for similar items in EconPapers)
JEL-codes: C32 C43 C53 (search for similar items in EconPapers)
Date: 2006

Downloads: (external link)
http://www.anpec.org.br/revista/vol7/vol7n3p453_483.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: http://EconPapers.repec.org/RePEc:anp:econom:v:7:y:2006:i:3:p:453-483

Ordering information: This journal article can be ordered from
Secretaria da ANPEC Rua Tiradentes, 17 - Ingá Niterói, RJ 24210-510 Brazil
http://www.anpec.org.br/revista/

Access Statistics for this article

Economia is edited by Joaquim Pinto de Andrade

More articles in Economia from ANPEC - Associação Nacional dos Centros de Pósgraduação em Economia [Brazilian Association of Graduate Programs in Economics]
Address: Secretaria da ANPEC Rua Tiradentes, 17 - Ingá Niterói, RJ 24210-510 Brazil
Contact information at EDIRC.
Series data maintained by Hugo E. A. da Gama Cerqueira (). This e-mail address is bad, please contact .