Previsões para o crescimento do PIB trimestral brasileiro com séries financeiras e econômicas mensais: uma aplicação de MIDAS

Abstract

The GDP forecast is an important indicator for production decisions taken by economic agents. In order to make forecasts for the Brazilian quarterly GDP growth, we used 16 monthly financial and economic series as potential predictors, covering the period from the second quarter of 1996 to the fourth quarter of 2012. For this purpose, we applied MIDAS (Mixed Data Sampling) and UMIDAS (Unrestricted Mixed Data Sampling) approaches and compared the out of sample forecasts with the benchmark ones provided by ARMA. MIDAS and UMIDAS showed smaller prediction errors, especially when information inside the quarter forecast is used. The results were even better when multiple regressors were employed.