Chauvet, Marcelle; Lima, Elcyon Caiado Rocha; Vasquez, … - 2015
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 by Lam (1990) are applied to quarterly GDP from 1975:1 to...
