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Modelos lineares e não lineares da curva de Phillips para previsão da taxa de Inflação no Brasil

Listed author(s):
  • Elano Ferreira Arruda

    (CAEN/UFC)

  • Roberto Tatiwa Ferreira

    (CAEN/UFC)

  • Ivan Castelar

    (CAEN/UFC)

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.

(This abstract was borrowed from another version of this item.)

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Paper provided by ANPEC - Associação Nacional dos Centros de Pósgraduação em Economia [Brazilian Association of Graduate Programs in Economics] in its series Anais do XXXVI Encontro Nacional de Economia [Proceedings of the 36th Brazilian Economics Meeting] with number 200807211607140.

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Date of creation: 2008
Handle: RePEc:anp:en2008:200807211607140
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