Índice De Atividade Econômica: Os Modelos De Filtro De Kalman E Box-Jenkins Comparados
Author
Abstract
Suggested Citation
Download full text from publisher
References listed on IDEAS
- Granger, C W J, 1969. "Investigating Causal Relations by Econometric Models and Cross-Spectral Methods," Econometrica, Econometric Society, vol. 37(3), pages 424-438, July.
- Diebold, Francis X & Mariano, Roberto S, 2002.
"Comparing Predictive Accuracy,"
Journal of Business & Economic Statistics, American Statistical Association, vol. 20(1), pages 134-144, January.
- Diebold, Francis X & Mariano, Roberto S, 1995. "Comparing Predictive Accuracy," Journal of Business & Economic Statistics, American Statistical Association, vol. 13(3), pages 253-263, July.
- Francis X. Diebold & Roberto S. Mariano, 1994. "Comparing Predictive Accuracy," NBER Technical Working Papers 0169, National Bureau of Economic Research, Inc.
- Tom Doan, "undated". "DMARIANO: RATS procedure to compute Diebold-Mariano Forecast Comparison Test," Statistical Software Components RTS00055, Boston College Department of Economics.
- Hodrick, Robert J & Prescott, Edward C, 1997.
"Postwar U.S. Business Cycles: An Empirical Investigation,"
Journal of Money, Credit and Banking, Blackwell Publishing, vol. 29(1), pages 1-16, February.
- Robert J. Hodrick & Edward Prescott, 1981. "Post-War U.S. Business Cycles: An Empirical Investigation," Discussion Papers 451, Northwestern University, Center for Mathematical Studies in Economics and Management Science.
- Victor Zarnowitz, 1991. "What is a Business Cycle?," NBER Working Papers 3863, National Bureau of Economic Research, Inc.
- Lin, Dennis K. J. & Guttman, Irwin, 1993. "Handling spuriosity in the Kalman filter," Statistics & Probability Letters, Elsevier, vol. 16(4), pages 259-268, March.
- Spacov, Andrei Dudus & Duarte, Angelo José Mont'Alverne & Issler, João Victor, 2004. "Indicadores coincidentes de atividade econômica e uma cronologia de recessões para o Brasil," FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE) 527, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil).
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Petropoulos, Fotios & Apiletti, Daniele & Assimakopoulos, Vassilios & Babai, Mohamed Zied & Barrow, Devon K. & Ben Taieb, Souhaib & Bergmeir, Christoph & Bessa, Ricardo J. & Bijak, Jakub & Boylan, Joh, 2022.
"Forecasting: theory and practice,"
International Journal of Forecasting, Elsevier, vol. 38(3), pages 705-871.
- Fotios Petropoulos & Daniele Apiletti & Vassilios Assimakopoulos & Mohamed Zied Babai & Devon K. Barrow & Souhaib Ben Taieb & Christoph Bergmeir & Ricardo J. Bessa & Jakub Bijak & John E. Boylan & Jet, 2020. "Forecasting: theory and practice," Papers 2012.03854, arXiv.org, revised Jan 2022.
- Gerit Vogt, 2009. "Konjunkturprognose in Deutschland. Ein Beitrag zur Prognose der gesamtwirtschaftlichen Entwicklung auf Bundes- und Länderebene," ifo Beiträge zur Wirtschaftsforschung, ifo Institute - Leibniz Institute for Economic Research at the University of Munich, number 36, March.
- Matsumura, Marco & Moreira, Ajax & Vicente, José, 2011. "Forecasting the yield curve with linear factor models," International Review of Financial Analysis, Elsevier, vol. 20(5), pages 237-243.
- Vitek, Francis, 2006. "Measuring the Stance of Monetary Policy in a Small Open Economy: A Dynamic Stochastic General Equilibrium Approach," MPRA Paper 802, University Library of Munich, Germany.
- Xiaojie Xu, 2017. "The rolling causal structure between the Chinese stock index and futures," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 31(4), pages 491-509, November.
- Liow, Kim Hiang & Huang, Yuting, 2018. "The dynamics of volatility connectedness in international real estate investment trusts," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 55(C), pages 195-210.
- Guangling 'Dave' Liu & Rangan Gupta & Eric Schaling, 2009.
"A New-Keynesian DSGE model for forecasting the South African economy,"
Journal of Forecasting, John Wiley & Sons, Ltd., vol. 28(5), pages 387-404.
- Guangling (Dave) Liu & Rangan Gupta & Eric Schaling, 2008. "A New-Keynesian DSGE Model for Forecasting the South African Economy," Working Papers 200805, University of Pretoria, Department of Economics.
- Aastveit, Knut Are & Trovik, Tørres, 2014.
"Estimating the output gap in real time: A factor model approach,"
The Quarterly Review of Economics and Finance, Elsevier, vol. 54(2), pages 180-193.
- Knut Are Aastveit & Tørres G. Trovik, 2008. "Estimating the output gap in real time: A factor model approach," Working Paper 2008/23, Norges Bank.
- Robert Lehmann & Antje Weyh, 2016.
"Forecasting Employment in Europe: Are Survey Results Helpful?,"
Journal of Business Cycle Research, Springer;Centre for International Research on Economic Tendency Surveys (CIRET), vol. 12(1), pages 81-117, September.
- Robert Lehmann & Antje Weyh, 2014. "Forecasting employment in Europe: Are survey results helpful?," ifo Working Paper Series 182, ifo Institute - Leibniz Institute for Economic Research at the University of Munich.
- Lehmann, Robert & Weyh, Antje, 2015. "Forecasting employment in Europe: Are survey results helpful?," IAB-Discussion Paper 201530, Institut für Arbeitsmarkt- und Berufsforschung (IAB), Nürnberg [Institute for Employment Research, Nuremberg, Germany].
- Christopher Martin & Costas Milas, 2010.
"Testing The Opportunistic Approach To Monetary Policy,"
Manchester School, University of Manchester, vol. 78(2), pages 110-125, March.
- Martin, Chris & Milas, Costas, 2006. "Testing the Opportunistic Approach to Monetary Policy," MPRA Paper 849, University Library of Munich, Germany.
- Christopher Martin & Costas Milas, 2007. "Testing the Opportunistic Approach to Monetary Policy," Keele Economics Research Papers KERP 2007/02, Centre for Economic Research, Keele University.
- Ling Tang & Chengyuan Zhang & Tingfei Li & Ling Li, 2021. "A novel BEMD-based method for forecasting tourist volume with search engine data," Tourism Economics, , vol. 27(5), pages 1015-1038, August.
- Karamé, Frédéric & Patureau, Lise & Sopraseuth, Thepthida, 2008.
"Limited participation and exchange rate dynamics: Does theory meet the data?,"
Journal of Economic Dynamics and Control, Elsevier, vol. 32(4), pages 1041-1087, April.
- Frédéric Karamé & Lise Patureau & Thepthida Sopraseuth, 2003. "Limited Participation and Exchange Rate Dynamics: Does Theory Meet the Data?," Documents de recherche 03-15, Centre d'Études des Politiques Économiques (EPEE), Université d'Evry Val d'Essonne.
- Frédéric Karamé & Lise Patureau & Thepthida Sopraseuth, 2008. "Limited participation and exchange rate dynamics: Does theory meet the data?," Post-Print halshs-00754292, HAL.
- Frédéric Karamé & Lise Patureau & Thepthida Sopraseuth, 2003. "Limited participation and exchange rate dynamics: does theory meet the data?," Cahiers de la Maison des Sciences Economiques v04013, Université Panthéon-Sorbonne (Paris 1).
- Alessandra Iacobucci, 2005.
"Spectral Analysis for Economic Time Series,"
Lecture Notes in Economics and Mathematical Systems, in: Jacek Leskow & Lionello F. Punzo & Martín Puchet Anyul (ed.), New Tools of Economic Dynamics, chapter 12, pages 203-219,
Springer.
- Alessandra Iacobucci, 2003. "Spectral Analysis for Economic Time Series," Documents de Travail de l'OFCE 2003-07, Observatoire Francais des Conjonctures Economiques (OFCE).
- Ritabrata Bose & Ashima Goyal, 2020. "Disaggregated Indian industrial cycles: A Spectral analysis," Indira Gandhi Institute of Development Research, Mumbai Working Papers 2020-033, Indira Gandhi Institute of Development Research, Mumbai, India.
- Corradi, Valentina & Swanson, Norman R., 2002.
"A consistent test for nonlinear out of sample predictive accuracy,"
Journal of Econometrics, Elsevier, vol. 110(2), pages 353-381, October.
- Corradi, V. & Swanson, N.R., 2000. "A Consistent Test for Nonlinear Out of Sample Predictive Accuracy," Discussion Papers 0012, University of Exeter, Department of Economics.
- Corradi, Valentina & Swanson, Norman R., 2004.
"Some recent developments in predictive accuracy testing with nested models and (generic) nonlinear alternatives,"
International Journal of Forecasting, Elsevier, vol. 20(2), pages 185-199.
- Valentina Corradi & Norman Swanson, 2003. "Some Recent Developments in Predictive Accuracy Testing With Nested Models and (Generic) Nonlinear Alternatives," Departmental Working Papers 200316, Rutgers University, Department of Economics.
- Peter Bauer & Igor Fedotenkov & Aurelien Genty & Issam Hallak & Peter Harasztosi & David Martinez Turegano & David Nguyen & Nadir Preziosi & Ana Rincon-Aznar & Miguel Sanchez Martinez, 2020. "Productivity in Europe: Trends and drivers in a service-based economy," JRC Research Reports JRC119785, Joint Research Centre.
- Vadim Kufenko & Niels Geiger, 2016.
"Business cycles in the economy and in economics: an econometric analysis,"
Scientometrics, Springer;Akadémiai Kiadó, vol. 107(1), pages 43-69, April.
- Geiger, Niels & Kufenko, Vadim, 2015. "Business cycles in the economy and in economics: An econometric analysis," Violette Reihe: Schriftenreihe des Promotionsschwerpunkts "Globalisierung und Beschäftigung" 46/2015, University of Hohenheim, Carl von Ossietzky University Oldenburg, Evangelisches Studienwerk.
- Marcjasz, Grzegorz & Uniejewski, Bartosz & Weron, Rafał, 2019. "On the importance of the long-term seasonal component in day-ahead electricity price forecasting with NARX neural networks," International Journal of Forecasting, Elsevier, vol. 35(4), pages 1520-1532.
- Alessandra Amendola & Marinella Boccia & Vincenzo Candila & Giampiero M. Gallo, 2020. "Energy and non–energy Commodities: Spillover Effects on African Stock Markets," Journal of Statistical and Econometric Methods, SCIENPRESS Ltd, vol. 9(4), pages 1-7.
More about this item
JEL classification:
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
- C43 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Index Numbers and Aggregation
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:anp:en2004:103. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Rodrigo Zadra Armond (email available below). General contact details of provider: https://edirc.repec.org/data/anpecea.html .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.