Aron, Janine; Muellbauer, John - C.E.P.R. Discussion Papers - 2010
Models for the twelve-month-ahead US rate of inflation, measured by the chain weighted consumer expenditure deflator … prices; introducing non-linearities to proxy state dependence in the inflation process; and replacing the information … criterion, commonly used in VARs to select lag length, with a ‘parsimonious longer lags’ (PLL) parameterisation. Forecast …