Produção industrial capixaba : uma análise comparativa dos principais métodos estatísticos de combinação de previsão

Detalhes bibliográficos
Ano de defesa: 2018
Autor(a) principal: Honorato, Taizi
Orientador(a): Não Informado pela instituição
Banca de defesa: Não Informado pela instituição
Tipo de documento: Dissertação
Tipo de acesso: Acesso aberto
Idioma: por
Instituição de defesa: Universidade Federal do Espírito Santo
BR
Mestrado em Economia
Centro de Ciências Jurídicas e Econômicas
UFES
Programa de Pós-Graduação em Economia
Programa de Pós-Graduação: Não Informado pela instituição
Departamento: Não Informado pela instituição
País: Não Informado pela instituição
Palavras-chave em Português:
330
Link de acesso: http://repositorio.ufes.br/handle/10/8783
Resumo: The objective of this work is to specify forecast models and forecast combinations applied to the time series of indices in the Extraction Industry, Transformation Industry and General Industry for the State of Espírito Santo. A priori, it focused on evaluating the performance of the main forecasting methods available in the literature, such as Holt-Winters, Box-Jenkins, Models of Artificial Neural Networks, and Econometric Models, incorporating other econometric variables in the latter method. such as inflation, interest rate, unemployment rate, industrial entrepreneur confidence index, utilization of installed capacity, among others. Secondly, it is considered to select the best model estimated for each methodology, and then to apply predictive combination methods, in order to evaluate if there is a difference between the accuracy of individual forecasts and their combinations. As technique combination forecast, were considered the methods of arithmetic mean, simplified minimum variance, and ordinary least squares regression. The performance evaluation of predictions and combinations of forecasts is obtained by accuracy measurements know by MAE, MSE, RMSE, MAPE, SMAPE, and U - Theil's. As the main result obtained, we highlight the predictions obtained from the forecast combination method ordinary least squares, which unanimously performed better than the other predictions for the three industrial production series considered in this study.