Modelo Univariado De Series Temporais
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1. Previsão da taxa de juros nominal no Brasil: uma avaliação comparativa entre curva de reação, modelos ARMA e VAR / An assessment of the performance of the central banks reaction function, ARMA and VAR models to forecast the nominal interest rate in Brazil
This work studies alternative econometric specifications potentially suitable for forecasting the nominal interest rate in Brazil. The group of evaluated models includes the Central Bank reaction function, a univariate time-series model and four different VAR specifications. The results show that the reaction function and the univariate time-series model pre
Publicado em: 2008