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Forecasting Quarterly Brazilian GDP Growth Rate With Linear and NonLinear Diffusion Index Models

Roberto Ferreira (), Herman Bierens () and Ivan Castelar
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Ivan Castelar: UFC

Economia, 2005, vol. 6, issue 3, 261-292

Abstract: This paper uses linear and non-linear diffusion index models and combination of them to produce one-step-ahead forecast of quarterly Brazilian GDP growth rate. The non-linear diffusion index models are not only parsimonious ones, but they also purport to describe economic cycles through a Threshold diffusion index model and a Markov-Switching diffusion index model.

Keywords: Forecasting; Brazilian GDP; Diffusion Index; Threshold; Markov-Switching (search for similar items in EconPapers)
JEL-codes: E37 (search for similar items in EconPapers)
Date: 2005
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http://www.anpec.org.br/revista/vol6/vol6n3p261_292.pdf (application/pdf)

Related works:
Working Paper: FORECASTING QUARTERLY BRAZILIAN GDP GROWTH RATE WITH LINEAR AND NONLINEAR DIFFUSION INDEX MODELS (2005) Downloads
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