ÍNDICE DE ATIVIDADE ECONÔMICA: OS MODELOS DE FILTRO DE KALMAN E BOX-JENKINS COMPARADOS

This paper has as objective to build a composite economic activity index for the local economy, created as form of measuring the economic activity. We use the factor analysis technique to determinate the components and their weights. This local index is then compared to national ones. As a result, the index behaves nicely as a local coincident index of the economic activities. Two techniques are used in their forecast; the first was the Kalman Filter and the second one the Box-Jenkins model. The presence of outliers required that we use a new technique in order the coefficients of the Kalman Filter model to be stable. The two techniques are then compared using a statistic test developed by Diebold and Mariano (1995). As a final result, the two models' forecasting are the same.

Ìndice de Atividade Econômica: Construção e Testes de Previsão dos Modelos de Filtro de Kalman e Box-Jenkins

This paper has as objective to present a practical method for building a composite economic activity index for local economies. As an example, the index was built using data for the city of Maringá-PR. In its development we employed factor analysis technique to find the principal components considering their common factor in order to build the index. This local index is then compared to national ones. As a result we found that national indexes move first comparative to our local index. Thus, the forecast of our local index should anticipate future economic changes. Two techniques are used in forecasting the local index; the first was the Kalman Filter and the second one the Box-Jenkins. The presence of outliers required that we use the technique proposed by Lin e Guttman (1993) in order to obtain stable coefficients for the Kalman Filter model. The two techniques are then compared using a statistic test developed by Diebold e Mariano (1995). As a final result the two models’ forecasting results showed to be equivalent.Ìndice de Atividade Econômica, Filtro de Kalman, ARIMA, Box-Jenkins

Avaliação da competitividade industrial do Rio Grande do Sul no Mercosul

The objective of this article is to evaluate the commercial acting of the industrial products of the state of Rio Grande do Sul in Mercosul among 1990 to 1996, starting from the estimate of the intra-industrial trade in the bilateral relationships between this state and the partners of this common market. They were analysed 100 sections that consist in the Brazilian Nomenclature of Merchandise. As methodological referential for determination of the index of intra-industrial trade was used the Index GRUBEL, LLOYD (1975) and to classify the sections with competitive potential and those that present larger sensibility to the partners' of IVIercosul external competition, was used the procedures adopted by CORRÊA, LOES (1994). The results showed that the predominant pattern of trade In most of the sections is the inter-sectorial, with a big advantage for the commercial partners. When the index is hurried in a joined way, present an intra-industrial pattern. This elapses due to high concentration of the trade in few industrial sections.The objective of this article is to evaluate the commercial acting of the industrial products of the state of Rio Grande do Sul in Mercosul among 1990 to 1996, starting from the estimate of the intra-industrial trade in the bilateral relationships between this state and the partners of this common market. They were analysed 100 sections that consist in the Brazilian Nomenclature of Merchandise. As methodological referential for determination of the index of intra-industrial trade was used the Index GRUBEL, LLOYD (1975) and to classify the sections with competitive potential and those that present larger sensibility to the partners' of IVIercosul external competition, was used the procedures adopted by CORRÊA, LOES (1994). The results showed that the predominant pattern of trade In most of the sections is the inter-sectorial, with a big advantage for the commercial partners. When the index is hurried in a joined way, present an intra-industrial pattern. This elapses due to high concentration of the trade in few industrial sections