ÍNDICE DE ATIVIDADE ECONÔMICA: OS MODELOS DE FILTRO DE KALMAN E BOX-JENKINS COMPARADOS

Vamerson Schwingel Ribeiro () and Joilson Dias ()

Anais do XXXII Encontro Nacional de Economia [Proceedings of the 32th Brazilian Economics Meeting] from ANPEC - Associação Nacional dos Centros de Pósgraduação em Economia [Brazilian Association of Graduate Programs in Economics]

Abstract: 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.

JEL-codes: C32 C53 C43 (search for similar items in EconPapers)
Date: 2004
View list of references

Downloads: (external link)
http://www.anpec.org.br/encontro2004/artigos/A04A103.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:en2004:103

Ordering information: This working paper can be ordered from
Secretaria da ANPEC Rua Tiradentes, 17 - Ingá Niterói, RJ 24210-510 Brazil

Access Statistics for this paper

More papers in Anais do XXXII Encontro Nacional de Economia [Proceedings of the 32th Brazilian Economics Meeting] 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 .