Reconstructing Brazilian unemployment rate (PNAD) using unobserved time series models

The analysis of the labor market in historical perspective in Brazil is a challenging task, since there is not a long, comprehensive and at the same time methodologically and conceptually compatible survey that allows monitoring the performance of the various variables in an appropriate manner. These issues were exacerbated in early 2016, when the Pesquisa Mensal de Emprego (PME) was interrupted by IBGE. Since then, the Pesquisa Nacional por Amostra de Domicílios Contínua (PNAD Contínua) has become the Institute's only reference to the high-frequency labor market monitoring. In this context, the objective of this study is to retropolate the unemployment rate from PNAD Contínua, begun in March 2012. Two series were produced from the state space model methodology, with the Kalman filter, one since 1976 and another since 1984, using as reference the annual PNAD and the Pesquisa de Emprego e Desemprego (PED-Dieese).

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