Previsão de variáveis macroeconômicas brasileiras usando modelos de séries temporais de alta dimensão

Palavras-chave: Previsão, Modelos de Fatores, Métodos de Shrinkage, Combinação de Previsão, Variáveis Macroeconômicas Brasileiras


Este artigo analisa o desempenho de vários modelos de fatores de alta dimensão para prever quatro variáveis macroeconômicas brasileiras, incluindo a taxa de desemprego, o índice de produção industrial, IPCA e IPC. Os fatores são extraídos de um conjunto de dados composto por 117 variáveis macroeconômicas. Técnicas de aprendizado estatístico foram aplicadas visando aumentar a performance dos modelos fatoriais. Três tipos de técnicas de aprendizado estatístico foram aplicadas: métodos de shrinkage, combinações de previsões e seleção de previsores. Os fatores são extraídos de forma supervisionada e não supervisionada. Os resultados indicam que métodos de aprendizado estatístico melhoram o desempenho preditivo das variáveis econômicas brasileiras. Além disso, a combinação de técnicas de aprendizagem estatística e supervisão fatorial produzem melhores previsões que modelos sem fatores, do que modelos fatoriais com ou sem supervisão e do que modelos que utilizam apenas o aprendizado estatístico sem supervisião dos fatores. Única exceção a estas conclusões foi a variável índice de produção industrial que foi melhor prevista pelo modelo não supervisionado de fatores.


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Biografia do Autor

Rafael Barros Barbosa, Universidade Federal do Ceará

Doutor em economia pela Universidade Federal do Ceará. Especialista em Econometria, Economia da Educação e Macroeconomia.

Roberto Tatiwa Ferreira, Universidade Federal do Ceará

Doutor em Economia pela Universidade Federal do Ceará. Professor de economia lotado no departamento de economia aplicada. Professor da Pós-graduação CAEN/UFC.


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