A new time-varying parameter autoregressive model for U.S. inflation expectations
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 | USA | United States | Phillips-Kurve | Phillips curve | Inflationserwartung | Inflation expectations | Autokorrelation | Autocorrelation | Schätzung | Estimation | Inflation | Zeitreihenanalyse | Time series analysis | Stochastischer Prozess | Stochastic process | Prognoseverfahren | Forecasting model | VAR-Modell | VAR model | Volatilität | Volatility |
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