Padrão sazonal da produção industrial, exportações e importações: uma aplicação do X-12 ARIMA

• Autor(a) principal: Oliveira, Arício Xavier de
• Data de Publicação: 1998
• Tipo de documento: Relatório
• Idioma: por
• Título da fonte: Repositório Institucional do FGV (FGV Repositório Digital)
• Texto Completo: http://hdl.handle.net/10438/3017
• topic: Sazonalidade; X-11-ARIMA; X-12-ARIMA; Administração de empresas; Previsão com Metodologia de Box-Jenkins

The objective of this research is to identify seasonal coefficients free from structural changes for Brazilian time series related to industrial production, exports and imports. The study aims to test wheter the stabilization plans implemented by the govern over the last fifteen years affected the seasonal pattern of our economic time series. In order to do that, the X-12-ARIMA, the new method to adjust time series for seasonal effects developed by the U.S. Bureau of the Census, will be used. The use of this new method it is necessary because, if our hypothesis is true, the standard methods employed to adjust Brazilian time series for seasonal effects may fail in obtaining the best estimators for the seasonal coefficients. The X-12-ARIMA is a method which filters the time series allowing for corrective interventions. The study covers the period from 1980 to 1997 and the results confirm the hypothesis of changes in the seasonal coefficients during this period.