ANALYSIS OF THE CYCLICAL AND SEASONAL COMPONENTS IN STRUCTURAL MODELS / ANÁLISE DAS COMPONENTES CÍCLICA E SAZONAL EM MODELOS ESTRUTURAIS
AUTOR(ES)
SILVIA MAZELIAH DA CUNHA
DATA DE PUBLICAÇÃO
1995
RESUMO
The thesis has two main objectives. The first one is to investigate the effects of the application of the Hodrick- Prescott filter (HP) in detecting macro-economic cycles in the brazilian GDP series, from 1900 to 1992, We compare the results from the HP method to those of Cribari and the structural approach of Harvey. We conclude that the HP series may generate spurious cycles. The second objective of this thesis is to compare the estimatives of the seasonal component obtained by fitting the structural model of Harvey with those obtained by X-11 ARIMA method for seasonal adjustment. In comparing the two approaches we use artificial generated series with seasonality.
ASSUNTO(S)
componente ciclica modelos estruturais structural time series models ciclical component
ACESSO AO ARTIGO
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