Abstract

TUROLLA, Frederico Araújo  and  MARGARIDO, Mário Antônio. Modeling and forecasting foreign direct investment into Brazil with ARIMA. Economia Global e Gestão [online]. 2011, vol.16, n.2, pp.83-100. ISSN 0873-7444.

In this paper we have tested the hypothesis that the Foreign Direct Investment (FDI) flows into Brazil have a Moving Average pattern in line with predictions from the theory. We have modeled the FDI series in US dollars using a univariate model, the Auto-Regressive Integrated Moving Average (ARIMA) model. The results confirmed the hypothesis derived from the theory that, after correcting for detected outliers, there is a Moving Average pattern in FDI inflows into Brazil as there is quite a dynamic series with relatively rapid adjustment towards equilibrium values. The patterns found can be used in univariate modeling to generate forecasts of the future values of the series. We present a forecast for the series and discuss the issue of forecast accuracy using the Theil Coefficient.

Keywords : Internalization Theory; Foreign Direct Investment; ARIMA Model; Intervention Analysis.

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