Showing 1 - 10 of 221
Persistent link: https://www.econbiz.de/10010394573
In this paper, we propose a Bayesian estimation and prediction procedure for noncausal autoregressive (AR) models. Specifically, we derive the joint posterior density of the past and future errors and the parameters, which gives posterior predictive densities as a byproduct. We show that the...
Persistent link: https://www.econbiz.de/10015222210
In this paper, we propose a simulation-based method for computing point and density forecasts for univariate noncausal and non-Gaussian autoregressive processes. Numerical methods are needed to forecast such time series because the prediction problem is generally nonlinear and no analytic...
Persistent link: https://www.econbiz.de/10015222212
We propose an estimation method of the new Keynesian Phillips curve (NKPC) based on a univariate noncausal autoregressive model for the inflation rate. By construction, our approach avoids a number of problems related to the GMM estimation of the NKPC. We estimate the hybrid NKPC with quarterly...
Persistent link: https://www.econbiz.de/10015226276
Recently Stock and Watson (2007) showed that since the mid-1980s it has been hard for backward-looking Phillips curve models to improve on simple univariate models in forecasting U.S. inflation. While this indeed is the case when the benchmark is a causal autoregression, little change in...
Persistent link: https://www.econbiz.de/10015226391
In this paper, we study the risk-return relationship in monthly U.S. stock returns (1928:1— 2004:12) using GARCH-in-Mean models. In particular, we consider the robustness of the relationship with respect to the omission of the intercept term in the equation for the expected excess return...
Persistent link: https://www.econbiz.de/10015232056
We propose a new methodology for ranking in probability the commonly proposed drivers of inflation in the New Keynesian model. The approach is based on Bayesian model selection among restricted VAR models, each of which embodies only one or none of the candidate variables as the driver....
Persistent link: https://www.econbiz.de/10015234126
This paper provides a simple epidemiology model where households, when forming their inflation expectations, rationally adopt the past release of inflation with certain probability rather than the forward-looking newspaper forecast as suggested in Carroll [2003, Macroeconomic Expectations of...
Persistent link: https://www.econbiz.de/10015260342
We propose a noncausal autoregressive model with time-varying parameters, and apply it to U.S. postwar inflation. The model .fits the data well, and the results suggest that inflation persistence follows from future expectations. Persistence has declined in the early 1980.s and slightly...
Persistent link: https://www.econbiz.de/10010292666
Persistent link: https://www.econbiz.de/10012095533