Modelos Lineares e Não Lineares da Curva de Phillips para Previsão da Taxa de Inflação no Brasil
Elano Ferreira Arruda,
Roberto Ferreira () and
Revista Brasileira de Economia - RBE, 2011, vol. 65, issue 3
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.
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Working Paper: Modelos lineares e não lineares da curva de Phillips para previsão da taxa de Inflação no Brasil (2008)
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Persistent link: https://EconPapers.repec.org/RePEc:fgv:epgrbe:v:65:y:2011:i:3:a:1523
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