RSS 1.0Observatório de previsões: metodologias e avaliação de modelos de projeção de inflação / RP
Observatório de previsões: metodologias e avaliação de modelos de projeção de inflação / RP
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Forecasting Industrial Production Index by its aggregated or disaggregated data? Evidence from one important emerging market
2019Our work aims to address if the use of disaggregate data helps to forecasting industrial production index. We use Brazilian industrial production data and we investigate if disaggregate information improves the accuracy ... -
Automated model selection with applications to Brazilian industrial production index
2019-10-23Brazilian Industrial Production Index undergoes different methodological updates and periods of high inflation over time, which prompts researchers to avoid using too long industrial production series. We analyze how ... -
Does the private database help to explain Brazilian inflation?
2019-01The large dimension of variables as regressors requires a reduction in the number of variables, which we do in this paper through the factorial model. This method is useful if the variables are collinear, as is our case. ... -
Forecasting large covariance matrices: comparing autometrics and LASSOVAR
2019This study aims to compare the performance of two well known automatic model selection algorithms, Autometrics (Hendry and Krolzig, 1999; Doornik, 2009), LASSOVAR and adaptive LASSOVAR (Callot et al., 2017) for modelling ...
