Time series estimates of inflation persistence incur an upward bias if shifts in the inflation target of the central … bank remain unaccounted for. Using a structural time series approach we measure different sorts of inflation persistence … allowing for an unobserved timevarying inflation target. Unobserved components are identified using Kalman filtering and …

Time series estimates of inflation persistence incur an upward bias if shifts in the inflation target of the central … bank remain unaccounted for. Using a structural time series approach we measure different sorts of inflation persistence … allowing for an unobserved time-varying inflation target. Unobserved components are identified using Kalman filtering and …

maximum likelihood estimation of the parameters in the model, we use an expectation maximization algorithm based on the state …

importance of modelling a system that includes the forcing variables as well as the rate of inflation is emphasized. We also …

initial conditions. Different likelihood functions can be adopted for the estimation of parameters in time series models with … diffuse likelihood can not be used generally for parameter estimation. Our newly proposed marginal likelihood function is … likelihood function for the estimation of parameters in linear time series models. The results in our paper confirm the earlier …

We construct inflation pressure indicators based on the long-run relationship that exists between monetary aggregates … deviations of real M1 from its relationship with its long-run determinants. The m* indicator is based on the estimation of the … determinants considering its long-run coefficients. Our results indicate that monetary policy has been congruent with the inflation …

seigniorage maximizing inflation rate, and (3) analysis of the potential relationship between a measure of excess money and … inflation. Results indicate that the low inflation equilibrium is stable, and that the excess money indicator shows, in …

In this paper, I apply univariate and vector autoregressive (VAR) models to forecast inflation in Vietnam. To … properties of inflation in Vietnam. Then, I compute the pseudo out-of-sample root mean square error (RMSE) as a measure of … forecasting models from among the different candidates. I find that VAR_m2 is the best monthly model to forecast inflation in …