Modelos lineares e n？o lineares da curva de Phillips para previs？o da taxa de infla？？o no Brasil

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.