A new time-varying parameter autoregressive model for U.S. inflation expectations
Markku Lanne, Jani Luoto
| Year of publication: |
August 2017
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|---|---|
| Authors: | Lanne, Markku ; Luoto, Jani |
| Published in: |
Journal of money, credit and banking : JMCB. - Malden, Mass. [u.a.] : Wiley-Blackwell, ISSN 0022-2879, ZDB-ID 218362-6. - Vol. 49.2017, 5, p. 969-995
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| Subject: | noncausal autoregression | new Keynesian Phillips curve | time-varying parameters | stochastic volatility | inflation forecasting | Phillips-Kurve | Phillips curve | USA | United States | Inflationserwartung | Inflation expectations | Inflation | Schätzung | Estimation | Volatilität | Volatility | Prognoseverfahren | Forecasting model | VAR-Modell | VAR model | Autokorrelation | Autocorrelation | Zeitreihenanalyse | Time series analysis | Stochastischer Prozess | Stochastic process | Theorie | Theory | Momentenmethode | Method of moments |