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Forecasting Brazilian Industrial Production Index with level and trend changes after crisis and SARIMA models

A. P. Alencar, F. M. M. da Rocha

Abstract


Two models are proposed for the monthly Brazilian industrial production index from 2002 to April 2015. The first model considers transient falls after the crisis in 2008 and another fall from December 2014 to April 2015, monthly fixed effects, different trends before and after 2008 and an autoregressive serial correlation for the errors. Another model without structural changes is the SARIMA model, including only a significant drop after the crisis in 2008. The first model identified a significant rising trend before the crisis of 2008, no significant growth after the crisis, significant declines just after the 2008 crisis and significant drop after December 2014. The SARIMA model do not assume different trends and levels but its forecasts indicates a worse scenario with no recovery in 2016.

Keywords


Time series, SARIMA, forecasting.

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