Forecasting Quarterly Brazilian GDP Growth Rate With Linear and NonLinear Diffusion Index Models

This paper uses linear and non-linear diffusion index models and combination of them to produce one-step-ahead forecast of quarterly Brazilian GDP growth rate. The non-linear diffusion index models are not only parsimonious ones, but they also purport to describe economic cycles through a Threshold diffusion index model and a Markov-Switching diffusion index model.

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Year of publication:	2005
Authors:	Ferreira, Roberto Tatiwa ; Bierens, Herman ; Castelar, Ivan
Published in:	Economia. - Associação dos Centros de Pós-Graduação em Economia - ANPEC, ISSN 1517-7580. - Vol. 6.2005, 3, p. 261-292
Publisher:	Associação dos Centros de Pós-Graduação em Economia - ANPEC
Subject:	Forecasting \| Brazilian GDP \| Diffusion Index \| Threshold \| Markov-Switching

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Extent:	application/pdf
Type of publication:	Article
Language:	English
Notes:	Published
Classification:	E37 - Forecasting and Simulation
Source:	RePEc - Research Papers in Economics

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