commonly used as a measure of excess demand in assessing inflation pressures. To estimate these unobserved variables, a popular …

In this paper we investigate the behavior of inflation persistence in the United States. To model inflation we estimate … varying persistence, which not only distinguishes between changes in the dynamics of inflation and its volatility, but it also … allows for feedback from nominal uncertainty to inflation. Our empirical results suggest that inflation persistence in the …

the observed time series. We develop a simulated maximum likelihood estimation method based on importance sampling and … applied to quarterly and monthly US inflation in an empirical study. We find that the persistence of quarterly inflation has … and density forecasts for monthly US inflation …

The estimation and the analysis of long memory parameters have mainly focused on the analysis of long-range dependence … memory requires major revisions in the standard estimation procedures without which the estimated results can be seriously …

This chapter presents a unified set of estimation methods for fitting a rich array of models describing dynamic … chapter is motivated by the principle that, whenever possible, estimation methods should rely on routines available in … sampling inherent in survey longitudinal data, (3) incorporation of predetermined variables in estimation, and (4 …

This paper proposes methods for both the consistent estimation of so-called long run canonical correlations (LRCCs) and …

This paper introduces an easy to follow method for continuous time model estimation. It serves as an introduction on … from estimation of the noise model. It also discusses the numerical difficulties involved in discrete time models that …

of US inflation using a model with time-varying mean and variance; we report significant improvements in the forecasting …

-parametric estimation is impractical given commonly available predictive sample sizes. Instead, this paper derives the approximate … inflation. -- Path forecast ; forecast uncertainty ; simultaneous confidence region ; Scheffé’s S-method ; Mahalanobis distance …

-parametric estimation is impractical given commonly available predictive sample sizes. Instead, this paper derives the approximate … inflation …