Listagem Rede de Pesquisa e Conhecimento Aplicado por autor "Pereira, Pedro L. Valls"

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    • Automated model selection with applications to Brazilian industrial production index 

      Rocha, Jordano Vieira; Pereira, Pedro L. Valls
      2019-10-23
      Brazilian 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? 

      Marçal, Emerson Fernandes; Pereira, Pedro L. Valls; Mendonça, Diogo de Prince
      2019-01
      The 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 

      Cunha, Ronan; Kock, Anders Bredahl; Pereira, Pedro L. Valls
      2019
      This 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 ...

    • On the robustness of the principal volatility components 

      Trucíos Maza, Carlos César; Hotta, Luiz Koodi; Pereira, Pedro L. Valls
      2018-03
      In this paper, we analyse the recent principal volatility components analysis procedure. The procedure overcomes several diculties in modelling and forecasting the conditional covariance matrix in large dimensions arising ...