EconPapers    
Economics at your fingertips  
 

Modelos Lineares e Não Lineares da Curva de Phillips para Previsão da Taxa de Inflação no Brasil

Elano Ferreira Arruda, Roberto Ferreira () and Ivan Castelar

Revista Brasileira de Economia - RBE, 2011, vol. 65, issue 3

Abstract: This paper compares forecasts of Brazilian monthly inflation rate generated from different linear and nonlinear time series and Phillips’ curve models. In general, the nonlinear models had a better performance. The VAR model produced the smallest mean square forecast error (MSE) among linear models, while overall best forecasts were generated by the extended Phillips curve with a threshold effect, which presented a 20% smaller MSE than the VAR model. The Diebold e Mariano (1995) test indicated a significant difference between forecasts generated from the VAR and the expanded Phillips curve with a threshold.

Date: 2011
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (9) Track citations by RSS feed

Downloads: (external link)
http://bibliotecadigital.fgv.br/ojs/index.php/rbe/article/view/1523 (text/html)

Related works:
Working Paper: Modelos lineares e não lineares da curva de Phillips para previsão da taxa de Inflação no Brasil (2008) Downloads
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:fgv:epgrbe:v:65:y:2011:i:3:a:1523

Access Statistics for this article

Revista Brasileira de Economia - RBE is currently edited by Ricardo Cavalcanti

More articles in Revista Brasileira de Economia - RBE from EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil) Contact information at EDIRC.
Bibliographic data for series maintained by Núcleo de Computação da FGV EPGE ().

 
Page updated 2020-12-04
Handle: RePEc:fgv:epgrbe:v:65:y:2011:i:3:a:1523