Brazilian foreign trade : fixed and time varying parameter models

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Abstract

In this thesis we estimate and analyse several
econometric models for the Brazilian trade equations. A
major attention is given to the questions of stationarity
and parameter instability. We test for the presence of
unit roots by using the Dickey and Fuller, and Phillips
and Perron tests and the Johansen procedure, and apply a
error correction mechanism to the data. To investigate
the question of parameter instability we use the Kalman
filter in both classical and bayesian approaches and the
switching regressions technique. These tests and
estimations are performed using both annual and quarterly
disaggregated data. We show that, in some cases, the
trade equation coefficients are indeed time varying. The
changes in the trade elasticities are then related to
changes in the trade policy regime and to the industrial
structure of the economy.

Item Type: Thesis [via Doctoral College] (PhD)
Subjects: H Social Sciences > HF Commerce
Library of Congress Subject Headings (LCSH): Brazil -- Commerce -- Econometric models, Brazil -- Foreign economic relations
Official Date: July 1992
Dates:
Date
Event
July 1992
Submitted
Institution: University of Warwick
Theses Department: Department of Economics
Thesis Type: PhD
Publication Status: Unpublished
Supervisor(s)/Advisor: Wallis, Kenneth Frank
Sponsors: Campanha Nacional de Aperfeiçoamento de Pessoal de Nível Superior (Brazil)
Extent: vii, 311 p.
Language: eng
URI: https://wrap.warwick.ac.uk/53070/

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