Cogley, Timothy; Primiceri, Giorgio E.; Sargent, Thomas J. - 2008
"We use Bayesian methods to estimate two models of post WWII U.S. inflation rates with drifting stochastic volatility … and drifting coefficients. One model is univariate, the other a multivariate autoregression. We define the inflation gap … as the deviation of inflation from a pure random walk component of inflation and use both of our models to study changes …