Author
Listed:
- Mário Jorge Mendonça
- Luis Alberto Medrano
Abstract
Este artigo tem por objetivo estimar o modelo fatorial dinâmico (MFD) bayesiano para previsão de arrecadação de uma amostra de tributos representativa da carga tributária brasileira, com dados mensais para o período de 2001 a 2013. O emprego do modelo fatorial possibilita reduzir a dimensionalidade do elevado número de tributos, levando em consideração as informações contidas nas relações existentes entre eles e permitindo a identificação dos fatores não correlacionados que trazem informação relevante subjacente à dinâmica dos tributos. Além disso, o componente sazonal das séries é modelado endogenamente, permitindo a obtenção de estimativas mais bem ajustadas aos dados e predições mais confiáveis – uma vez que a sazonalidade é uma característica marcante de certas séries de tributos. Confrontamos as previsões obtidas por meio do MFD com aquelas geradas pelo modelo linear dinâmico (MLD) aplicado para cada imposto separadamente e verificamos que o modelo fatorial traz ganhos consideráveis em termos de eficiência e previsão. This article aims to estimate the dynamic factor model for prediction tax receipts in Brazil using monthly data for the period 2001-2013. The factorial model allows to reduce the dimensionality of the high number of taxes taking into account the information contained in the existing interrelations between them and allowing to identify only the relevant information through the variables named factors. Further, in our model the seasonal component of the series of taxes is treated endogenously. This procedure permits to obtain better data fitting and more reliable predictions – once seasonality is a hallmark of certain series of tributes. We confront the predictions of the factorial model with those generated by linear dynamic model applied to each tribute separately and found that the factor model brings considerable gains in terms of efficiency and prediction.
Suggested Citation
Mário Jorge Mendonça & Luis Alberto Medrano, 2015.
"Aplicação do Modelo Fatorial Dinâmico Para Previsão da Receita Tributária no Brasil,"
Discussion Papers
2064, Instituto de Pesquisa Econômica Aplicada - IPEA.
Handle:
RePEc:ipe:ipetds:2064
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Citations
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Cited by:
- Cardoso de Mendonça, Mário Jorge & Moreira Pessanha, José Francisco & Andrade de Almeida, Victor & Toscano Medrano, Luiz Alberto & Hunt, Julian David & Pereira Junior, Amaro Olímpio & Nogueira, Erika , 2024.
"Synthetic wind speed time series generation by dynamic factor model,"
Renewable Energy, Elsevier, vol. 228(C).
- World Bank, 2020.
"Brazil Rural Finance Policy Note,"
World Bank Publications - Reports
34195, The World Bank Group.
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