FORECASTING QUARTERLY BRAZILIAN GDP GROWTH RATE WITH LINEAR AND NONLINEAR DIFFUSION INDEX MODELS

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.

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Year of publication:	2005
Authors:	Ferreira, Roberto Tatiwa ; Castelar, Luiz Ivan de Melo
Institutions:	Associação dos Centros de Pós-Graduação em Economia - ANPEC

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Series:	Anais do XXXIII Encontro Nacional de Economia [Proceedings of the 33th Brazilian Economics Meeting].
Type of publication:	Book / Working Paper
Language:	English
Classification:	E32 - Business Fluctuations; Cycles ; E37 - Forecasting and Simulation
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10004968507