Browsing FGV EESP - Textos para Discussão / Working Paper Series by Subject "Econometria"
Now showing items 1-4 of 4
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Forecast comparison with nonlinear methods for Brazilian industrial production
2015-07-27This work assesses the forecasts of three nonlinear methods | Markov Switching Autoregressive Model, Logistic Smooth Transition Auto-regressive Model, and Auto-metrics with Dummy Saturation | for the Brazilian monthly ... -
Forecasting conditional covariance matrices in high-dimensional time series: a general dynamic factor approach
2019-06Based on a General Dynamic Factor Model with infinite-dimensional factor space, we develop a new estimation and forecasting procedures for conditional covariance matrices in high-dimensional time series. The performance ... -
Modeling how macroeconomic shocks a ect regional employment: analyzing the Brazilian formal labor market using the global VAR approach
2018-02Assessing linkages across different regions and how macroeconomic shocks spread out across regions is not an easy task. In this study we address this problem using a global vector autoregressive methodology that deals with ... -
The perils of counterfactual analysis with integrated processes
2017Recently, there has been a growing interest in developing econometric tools to conduct counterfactual analysis with aggregate data when a "treated" unit suffers an intervention, such as a policy change, and there is no ...
