ETDs @PUC-Rio
| Título: | ANALYSIS OF THE CYCLICAL AND SEASONAL COMPONENTS IN STRUCTURAL MODELS | ||||||||||||
| Autor: |
SILVIA MAZELIAH DA CUNHA |
||||||||||||
| Colaborador(es): |
CRISTIANO AUGUSTO COELHO FERNANDES - Orientador REINALDO CASTRO SOUZA - Orientador |
||||||||||||
| Catalogação: | 24/JUL/2006 | Língua(s): | PORTUGUESE - BRAZIL |
||||||||||
| Tipo: | TEXT | Subtipo: | THESIS | ||||||||||
| Notas: |
[pt] Todos os dados constantes dos documentos são de inteira responsabilidade de seus autores. Os dados utilizados nas descrições dos documentos estão em conformidade com os sistemas da administração da PUC-Rio. [en] All data contained in the documents are the sole responsibility of the authors. The data used in the descriptions of the documents are in conformity with the systems of the administration of PUC-Rio. |
||||||||||||
| Referência(s): |
[pt] https://www.maxwell.vrac.puc-rio.br/projetosEspeciais/ETDs/consultas/conteudo.php?strSecao=resultado&nrSeq=8728&idi=1 [en] https://www.maxwell.vrac.puc-rio.br/projetosEspeciais/ETDs/consultas/conteudo.php?strSecao=resultado&nrSeq=8728&idi=2 |
||||||||||||
| DOI: | https://doi.org/10.17771/PUCRio.acad.8728 | ||||||||||||
| 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.
|
|||||||||||||
|
|||||||||||||
