Browsing FGV EPGE - Escola Brasileira de Economia e Finanças by Subject "Previsão econômica - Modelos econométricos"
Now showing items 1-8 of 8
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Ensaios sobre ciclos de negócios
2009The purpose of this article is to propose and evaluate forecasting models for the Brazilian industrial GDP. Most models are based on vector auto-regressions (VARs) or on restricted VARs, but models on the ARMA class are ... -
Essays in applied econometrics
2015-11-27Using a unique dataset on Brazilian nominal and real yield curves combined with daily survey forecasts of macroeconomic variables such as GDP growth, inflation, and exchange rate movements, we identify the effect of surprises ... -
Forecasting accuracy and estimation uncertainty using VAR models with short- and long-term economic restrictions: a Monte-Carlo study
2005-04-01Using vector autoregressive (VAR) models and Monte-Carlo simulation methods we investigate the potential gains for forecasting accuracy and estimation uncertainty of two commonly used restrictions arising from economic ... -
A panel data approach to economic forecasting: the bias-corrected average forecast
2007-09-01In this paper, we propose a novel approach to econometric forecasting of stationary and ergodic time series within a panel-data framework. Our key element is to employ the (feasible) bias-corrected average forecast. Using ... -
A panel data approach to economic forecasting: the bias-corrected average forecast
2007-01-01In this paper, we propose a novel approach to econometric forecasting of stationary and ergodic time series within a panel-data framework. Our key element is to employ the bias-corrected average forecast. Using panel-data ... -
A panel data approach to economic forecasting: the bias-corrected average forecast
2008-01-01In this paper, we propose a novel approach to econometric forecasting of stationary and ergodic time series within a panel-data framework. Our key element is to employ the (feasible) bias-corrected average forecast. Using ... -
Prevendo inflação usando séries temporais e combinações de previsões
2008-10-10O propósito deste estudo é analisar a capacidade dos modelos econométricos ARMA, ADL, VAR e VECM de prever inflação, a fim de verificar qual modelagem é capaz de realizar as melhores previsões num período de até 12 meses, ... -
Previsão de preços de ativos usando restrições do modelo de valor presente
2012-12-21Motivados pelo debate envolvendo modelos estruturais e na forma reduzida, propomos nesse artigo uma abordagem empírica com o objetivo de ver se a imposição de restrições estruturais melhoram o poder de previsibilade vis-a-vis ...
