Revista Brasileira de Economia
On-line version ISSN 1806-9134
PICCHETTI, Paulo and TOLEDO, Celso. Estimating and interpreting a common stochastic component for the Brazilian industrial production index. Rev. Bras. Econ. [online]. 2002, vol.56, n.1, pp. 107-120. ISSN 1806-9134. http://dx.doi.org/10.1590/S0034-71402002000100004.
This paper employs a state-space formulation to model a common stochastic component in four different series that constitute the aggregate index of industrial production in Brazil. This estimated common component is then interpreted as a measurement of behavior of fundamentals in the brazilian economy and compared to the actual aggregate index.
Keywords : time series econometrics; brazilian industrial production index; business fluctuations.