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Forecasting Quarterly Brazilian Gdp Growth Rate With Linear And Nonlinear Diffusion Index Models

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  • Roberto Tatiwa Ferreira
  • Luiz Ivan de Melo Castelar

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.

Suggested Citation

  • Roberto Tatiwa Ferreira & Luiz Ivan de Melo Castelar, 2005. "Forecasting Quarterly Brazilian Gdp Growth Rate With Linear And Nonlinear Diffusion Index Models," Anais do XXXIII Encontro Nacional de Economia [Proceedings of the 33rd Brazilian Economics Meeting] 029, ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics].
    • Handle: RePEc:anp:en2005:029
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    2. Jorge L.M. Andraz & Pedro M.D.C.B. Gouveia & Paulo M.M. Rodrigues, 2009. "Modelling and Forecasting the UK Tourism Growth Cycle in Algarve," Tourism Economics, , vol. 15(2), pages 323-338, June.
    3. Arruda, Elano Ferreira & Ferreira, Roberto Tatiwa & Castelar, Ivan, 2011. "Modelos Lineares e Não Lineares da Curva de Phillips para Previsão da Taxa de Inflação no Brasil," Revista Brasileira de Economia - RBE, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil), vol. 65(3), September.
    4. Herman Kamil & José David Pulido & José Luis Torres, 2010. "El "IMACO": un índice mensual de la actividad económica en Colombia," Monetaria, CEMLA, vol. 0(4), pages 495-548, octubre-d.
    5. Sandra Eickmeier & Christina Ziegler, 2008. "How successful are dynamic factor models at forecasting output and inflation? A meta-analytic approach," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 27(3), pages 237-265.
    6. Desirée Castrillo R. & Carlos Mora G. & Carlos Torres G., 2010. "Mecanismos de transmisión de la política monetaria en Costa Rica: periodo 1991-2007," Monetaria, CEMLA, vol. 0(4), pages 549-599, octubre-d.
    7. Morais, Igor Alexandre C. & Chauvet, Marcelle, 2011. "Leading Indicators for the Capital Goods Industry," Brazilian Review of Econometrics, Sociedade Brasileira de Econometria - SBE, vol. 31(1), March.
    8. Marco Antonio Laguna Vargas, 2010. "Características de la inflación importada en Bolivia: ¿puede contenerse con política cambiaria?," Monetaria, CEMLA, vol. 0(4), pages 463-493, octubre-d.
    9. Ngomba Bodi, Francis Ghislain & Bikai, Landry, 2017. "Prévisions de l’inflation et de la croissance en zone CEMAC [Inflation and real growth forecasts in CEMAC zone]," MPRA Paper 116433, University Library of Munich, Germany.

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    JEL classification:

    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
    • E37 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Forecasting and Simulation: Models and Applications

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