FORECASTING QUARTERLY BRAZILIAN GDP GROWTH RATE WITH LINEAR AND NONLINEAR DIFFUSION INDEX MODELS

Roberto Ferreira and Luiz Ivan de Melo Castelar

Anais do XXXIII Encontro Nacional de Economia [Proceedings of the 33rd Brazilian Economics Meeting] from ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics]

Abstract: The present study uses linear and non-linear diffusion index models to produce one-stepahead forecast of quarterly Brazilian GDP growth rate. Diffusion index models are like dynamic factors models. The non-linear diffusion index models used in this work are not only parsimonious ones, but also they try to capture economic cycles using for this goal a Threshold diffusion index model and a Markov-Switching diffusion index model.

JEL-codes: E32 E37 (search for similar items in EconPapers)
Date: 2005
New Economics Papers: this item is included in nep-ets, nep-for and nep-mac
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Citations: View citations in EconPapers (11)

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Journal Article: Forecasting Quarterly Brazilian GDP Growth Rate With Linear and NonLinear Diffusion Index Models (2005)
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