Cointegration analysis is applied to investigate the long run relationships between money, prices, and wages in Norway. Broad money is determined endogenously, and monetary balances were exposed to large shocks during the period of financial deregulation in the midst of the 1980s. In the long...

In this chapter, a procedure is presented to use the bootstrap in choosing the best approximation in terms of forecasting performance for the equivalent state-space representation of a vector autoregressive model. It is found that the proposed procedure, which uses each approximant's forecasting...

This paper presents the MARX package for the analysis of mixed causal-noncausal autoregressive processes with possibly exogenous regressors. The distinctive feature of MARX models is that they abandon the Gaussianity assumption on the error term.This deviation from the Box-Jenkins approach...

In this paper we extend the traditional GARCH(1,1) model by including a functional trend term in the conditional volatility of a time series. We derive the main properties of the model and apply it to all agricultural commodities in the Mexican CPI basket, as well as to the international prices...

I make inferences about complicated patterns of structural breaks in inflation dynamics. I extend Chib's (1998) approach by allowing multiple parameters such as the unconditional mean, a group of persistence parameters, and/or the residual variance to undergo mutually independent structural...

In this paper we investigate the behavior of inflation persistence in the United States. To model inflation we estimate an autoregressive GARCH-in-mean model with variable coefficients and we propose a new measure of second-order time varying persistence, which not only distinguishes between...

We establish that the Phillips curve is persistence-dependent: inflation responds differently to persistent versus moderately persistent (or versus transient) fluctuations in the unemployment gap. Previous work fails to model this dependence, so it finds numerous “inflation puzzles”—such...

Economists often seek to estimate unobserved variables, representing “equilibrium” or “expected” values of economic variables, as benchmarks against which observed, realised values of these variables may be evaluated. Such comparisons are often used as economic policy indicators, for...

Several recent studies have expressed concern that the Haar prior typically imposed in estimating sign-identified VAR models may be unintentionally informative about the implied prior for the structural impulse responses. This question is indeed important, but we show that the tools that have...

The rate of mean-reversion in a country's real exchange rate (RER) is a key indicator to consider when discussing exchange rate policies in any country. In practice, this rate - known as the half-life - is commonly calculated using price aggregates, such as the consumer price index (CPI). I...