文章基本信息

标题：Modelos lineares e não lineares da curva de Phillips para previsão da taxa de Inflação no Brasil
本地全文：下载
作者：Elano Ferreira Arruda ; Roberto Tatiwa Ferreira ; Ivan Castelar 等
期刊名称：Revista Brasileira de Economia
印刷版ISSN：0034-7140
出版年度：2011
卷号：65
期号：3
页码：237-252
语种：Portuguese
出版社：Escola de Pós-Graduação em Economia da FGV
摘要：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.
其他摘要：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.
关键词：Curva de Phillips; Modelos de Séries Temporais; Threshold; Previsão.;Curva de Phillips; Modelos de Séries Temporais; Threshold; Previsão.
其他关键词：Curva de Phillips, Modelos de Séries Temporais, Threshold, Previsão.