Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/100719
Authors: 
Chauvet, Marcelle
Lima, Elcyon C.R.
Vasquez, Brisne
Year of Publication: 
2002
Series/Report no.: 
Working Paper, Federal Reserve Bank of Atlanta 2002-28
Abstract: 
This paper compares the forecasting performance of linear and nonlinear models under the presence of structural breaks for the Brazilian real GDP growth. The Markov-switching models proposed by Hamilton (1989) and its generalized version proposed by Lam (1991) are applied to quarterly GDP from 1975:1 to 2000:2 allowing for breaks at the Collor Plans. The probabilities of recessions are used to analyze the Brazilian business cycle. The ability of each model in forecasting out-of-sample the growth rates of GDP is examined. The forecasting ability of the two models is also compared with linear specifications. The authors find that nonlinear models display the best forecasting performance and that specifications including the presence of structural breaks are important in obtaining a representation of the Brazilian business cycle.
Subjects: 
Forecasting
Economic conditions - Brazil
Econometric models
Brazil
Document Type: 
Working Paper

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