Browsing FGV EPGE - Ensaios Econômicos by Title "Welfare cost of Inflation in Brazil: an approach with time-varying cointegration and Kalman filter"

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Welfare cost of Inflation in Brazil: an approach with time-varying cointegration and Kalman filter

Campos, Eduardo Lima; Cysne, Rubens Penha
2018-08-01

This paper compares the time-varying cointegration and the Kalman filter techniques to estimate the Brazilian money demand between 1996 and 2015. The estimation using Kalman filtering performs better and is subsequently ...