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

Detalhes bibliográficos
Autor(a) principal: Roberto Tatiwa Ferreira
Data de Publicação: 2005
Tipo de documento: Tese
Idioma: eng
Título da fonte: Biblioteca Digital de Teses e Dissertações da UFC
Texto Completo: http://www.teses.ufc.br/tde_busca/arquivo.php?codArquivo=1294
Resumo: 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. These factors are latent variables that represent a common property from the explanatory variables, then allowing a considerably reduction of its number in econometric models elaborated to attend the main objective of this work. The non-linear diffusion index models used in this thesis 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. The former is used, besides for forecasting purpose, also to test if there is a non-linear pattern in the quarterly Brazilian GDP growth rate.
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spelling info:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/doctoralThesisForecasting Quarterly Brazilian Gdp Growth Rate With Linear and Nonlinear Diffusion Index ModelsForecasting Quarterly Brazilian Gdp Growth Rate With Linear and Nonlinear Diffusion Index Models2005-05-05Luiz Ivan de Melo Castelar04506766334http://lattes.cnpq.br/8710490356999657Emerson LuÃs Lemos Marinho07303416315Almir Bittencourt da Silva05947200638http://lattes.cnpq.br/1591770886209876Paulo de Melo Jorge Neto35625660344http://lattes.cnpq.br/7568927888412924Marcelo Lettieri Siqueira11921831855http://lattes.cnpq.br/718659789623035541059689200http://lattes.cnpq.br/9723758439733361Roberto Tatiwa FerreiraUniversidade Federal do CearÃPrograma de PÃs-GraduaÃÃo em Economia - CAENUFCBRProduto Interno BrutoECONOMIAThe 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. These factors are latent variables that represent a common property from the explanatory variables, then allowing a considerably reduction of its number in econometric models elaborated to attend the main objective of this work. The non-linear diffusion index models used in this thesis 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. The former is used, besides for forecasting purpose, also to test if there is a non-linear pattern in the quarterly Brazilian GDP growth rate.Esta Tese estuda modelos lineares e nÃo lineares de Ãndices de difusÃo para prever, em um perÃodo à frente, a taxa de crescimento trimestral do PIB brasileiro. Os modelos de Ãndice de difusÃo assemelham-se aos modelos de fatores dinÃmicos. Estes fatores sÃo variÃveis nÃo observÃveis e representam uma caracterÃstica em comum Ãs variÃveis explicativas, permitindo a reduÃÃo significativa do nÃmero dessas no modelo economÃtrico proposto para atender o objetivo principal deste trabalho. AlÃm de parcimoniosos, os modelos utilizados nesta Tese se propÃem a capitar as fases de recessÃo e expansÃo econÃmica, atravÃs de modelos nÃo lineares do tipo Threshold Effect e Markov-Switching, servindo o primeiro destes dois para testar a hipÃtese de que existe nÃo linearidades na variÃvel sob estudo.CoordenaÃÃo de AperfeiÃoamento de Pessoal de NÃvel Superiorhttp://www.teses.ufc.br/tde_busca/arquivo.php?codArquivo=1294application/pdfinfo:eu-repo/semantics/openAccessengreponame:Biblioteca Digital de Teses e Dissertações da UFCinstname:Universidade Federal do Cearáinstacron:UFC2019-01-21T11:14:12Zmail@mail.com -
dc.title..fl_str_mv Forecasting Quarterly Brazilian Gdp Growth Rate With Linear and Nonlinear Diffusion Index Models
dc.title.alternative.en.fl_str_mv Forecasting Quarterly Brazilian Gdp Growth Rate With Linear and Nonlinear Diffusion Index Models
title Forecasting Quarterly Brazilian Gdp Growth Rate With Linear and Nonlinear Diffusion Index Models
spellingShingle Forecasting Quarterly Brazilian Gdp Growth Rate With Linear and Nonlinear Diffusion Index Models
Roberto Tatiwa Ferreira
Produto Interno Bruto
ECONOMIA
title_short Forecasting Quarterly Brazilian Gdp Growth Rate With Linear and Nonlinear Diffusion Index Models
title_full Forecasting Quarterly Brazilian Gdp Growth Rate With Linear and Nonlinear Diffusion Index Models
title_fullStr Forecasting Quarterly Brazilian Gdp Growth Rate With Linear and Nonlinear Diffusion Index Models
title_full_unstemmed Forecasting Quarterly Brazilian Gdp Growth Rate With Linear and Nonlinear Diffusion Index Models
title_sort Forecasting Quarterly Brazilian Gdp Growth Rate With Linear and Nonlinear Diffusion Index Models
author Roberto Tatiwa Ferreira
author_facet Roberto Tatiwa Ferreira
author_role author
dc.contributor.advisor1.fl_str_mv Luiz Ivan de Melo Castelar
dc.contributor.advisor1ID.fl_str_mv 04506766334
dc.contributor.advisor1Lattes.fl_str_mv http://lattes.cnpq.br/8710490356999657
dc.contributor.referee1.fl_str_mv Emerson LuÃs Lemos Marinho
dc.contributor.referee1ID.fl_str_mv 07303416315
dc.contributor.referee2.fl_str_mv Almir Bittencourt da Silva
dc.contributor.referee2ID.fl_str_mv 05947200638
dc.contributor.referee2Lattes.fl_str_mv http://lattes.cnpq.br/1591770886209876
dc.contributor.referee3.fl_str_mv Paulo de Melo Jorge Neto
dc.contributor.referee3ID.fl_str_mv 35625660344
dc.contributor.referee3Lattes.fl_str_mv http://lattes.cnpq.br/7568927888412924
dc.contributor.referee4.fl_str_mv Marcelo Lettieri Siqueira
dc.contributor.referee4ID.fl_str_mv 11921831855
dc.contributor.referee4Lattes.fl_str_mv http://lattes.cnpq.br/7186597896230355
dc.contributor.authorID.fl_str_mv 41059689200
dc.contributor.authorLattes.fl_str_mv http://lattes.cnpq.br/9723758439733361
dc.contributor.author.fl_str_mv Roberto Tatiwa Ferreira
contributor_str_mv Luiz Ivan de Melo Castelar
Emerson LuÃs Lemos Marinho
Almir Bittencourt da Silva
Paulo de Melo Jorge Neto
Marcelo Lettieri Siqueira
dc.subject.por.fl_str_mv Produto Interno Bruto
topic Produto Interno Bruto
ECONOMIA
dc.subject.cnpq.fl_str_mv ECONOMIA
dc.description.sponsorship.fl_txt_mv CoordenaÃÃo de AperfeiÃoamento de Pessoal de NÃvel Superior
dc.description.abstract.por.fl_txt_mv 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. These factors are latent variables that represent a common property from the explanatory variables, then allowing a considerably reduction of its number in econometric models elaborated to attend the main objective of this work. The non-linear diffusion index models used in this thesis 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. The former is used, besides for forecasting purpose, also to test if there is a non-linear pattern in the quarterly Brazilian GDP growth rate.
dc.description.abstract.eng.fl_txt_mv Esta Tese estuda modelos lineares e nÃo lineares de Ãndices de difusÃo para prever, em um perÃodo à frente, a taxa de crescimento trimestral do PIB brasileiro. Os modelos de Ãndice de difusÃo assemelham-se aos modelos de fatores dinÃmicos. Estes fatores sÃo variÃveis nÃo observÃveis e representam uma caracterÃstica em comum Ãs variÃveis explicativas, permitindo a reduÃÃo significativa do nÃmero dessas no modelo economÃtrico proposto para atender o objetivo principal deste trabalho. AlÃm de parcimoniosos, os modelos utilizados nesta Tese se propÃem a capitar as fases de recessÃo e expansÃo econÃmica, atravÃs de modelos nÃo lineares do tipo Threshold Effect e Markov-Switching, servindo o primeiro destes dois para testar a hipÃtese de que existe nÃo linearidades na variÃvel sob estudo.
description 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. These factors are latent variables that represent a common property from the explanatory variables, then allowing a considerably reduction of its number in econometric models elaborated to attend the main objective of this work. The non-linear diffusion index models used in this thesis 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. The former is used, besides for forecasting purpose, also to test if there is a non-linear pattern in the quarterly Brazilian GDP growth rate.
publishDate 2005
dc.date.issued.fl_str_mv 2005-05-05
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/doctoralThesis
status_str publishedVersion
format doctoralThesis
dc.identifier.uri.fl_str_mv http://www.teses.ufc.br/tde_busca/arquivo.php?codArquivo=1294
url http://www.teses.ufc.br/tde_busca/arquivo.php?codArquivo=1294
dc.language.iso.fl_str_mv eng
language eng
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
dc.publisher.none.fl_str_mv Universidade Federal do CearÃ
dc.publisher.program.fl_str_mv Programa de PÃs-GraduaÃÃo em Economia - CAEN
dc.publisher.initials.fl_str_mv UFC
dc.publisher.country.fl_str_mv BR
publisher.none.fl_str_mv Universidade Federal do CearÃ
dc.source.none.fl_str_mv reponame:Biblioteca Digital de Teses e Dissertações da UFC
instname:Universidade Federal do Ceará
instacron:UFC
reponame_str Biblioteca Digital de Teses e Dissertações da UFC
collection Biblioteca Digital de Teses e Dissertações da UFC
instname_str Universidade Federal do Ceará
instacron_str UFC
institution UFC
repository.name.fl_str_mv -
repository.mail.fl_str_mv mail@mail.com
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