MODELOS DE SÉRIES TEMPORAIS APLICADOS À SÉRIE DOS ÍNDICES DE PREÇOS AO CONSUMIDOR NA REGIÃO DE LAVRAS, MG, NO PERÍODO DE 1992 A 1999

Roberta Bessa Veloso Silva, Daniel Furtado Ferreira and Thelma Safadi

Organizações Rurais e Agroindustriais/Rural and Agro-Industrial Organizations, 2000, vol. 02, issue 2, 12

Abstract: This piece of work was carried out objectifying to adjust the time series models to the series of price indexes for the consumer ( PIC ) of Lavras MG. It aimed at verifying the occurrence of differences in trend as for the period which preceeded, as well as for the one which succeeded the Plano Real, and if there was a simple linear trend along with Plano Real ( 1994-1999 ) as well as if any seasonality occurred. It also objectified to comparing the series of both Lavras and the Federal District. It was verified that there was no trend along the whole series, nor there was any seasonality, notwithstanding the fact that a level change occurred, which was characterized as an intervention, rather than a trend. It was necessary to fit a model featuring an intervention for a better model adjustment and forecast. The parameters of the model which featured interventions were estimated and those coincided with the periods of governmental interventios in the Brazilian economy. The adjustment of a AR (1) model with intervention, proved to be more efficient than the one which would not consider the intervention in the forecast of PIC from May to December, 1999. To Brasília, the model fitted was an AR (2) with a permanent gradual intervention on the time 168 and a permanent sudden intervention on time 266 which correspond to two months, respectively the one following the introduction of Plano Cruzado and the other one, to the exact time when Plano Real was implanted. As for the period from August 1992 to December 1998, the series of both Lavras and Brasília are considered as being equal.

Date: 2000
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Persistent link: https://EconPapers.repec.org/RePEc:ags:orarao:43355

DOI: 10.22004/ag.econ.43355

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