عنوان مقاله [English]
نویسندگان [English]چکیده [English]
In this paper, Using CPI data from 1990 to 2011, it is showed that Iranian inflation series has been encountered with structural breaks. Then, it is showed that time-varying parameter models can explain the behavior of Iranian inflation, but nonlinear model cannot. Also, investigating the performance of out-of-sample forecasting shows that the performance of time-varying parameter model is slightly better than benchmark AR model in all forecast horizons, although this difference is not significant, but the nonlinear model in all forecast horizons does not have better performance than our benchmark model. So, although modeling inflation by time-varying models can explain the behavior of inflation, but it cannot help forecast inflation.
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