Brazilian foreign trade : fixed and time varying parameter models

Abstract

In this thesis we estimate and analyse several econometric models for the Brazilian trade equations. A major attention is given to the questions of stationarity and parameter instability. We test for the presence of unit roots by using the Dickey and Fuller, and Phillips and Perron tests and the Johansen procedure, and apply a error correction mechanism to the data. To investigate the question of parameter instability we use the Kalman filter in both classical and bayesian approaches and the switching regressions technique. These tests and estimations are performed using both annual and quarterly disaggregated data. We show that, in some cases, the trade equation coefficients are indeed time varying. The changes in the trade elasticities are then related to changes in the trade policy regime and to the industrial structure of the economy