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Using additional information in estimating output gap in Peru: a multivariate unobserved component approach

Llosa, Gonzalo; Miller, Shirley - Econometric Society - 2004

One of the key inputs for inflation targeting regime is the right identification of inflationary or disinflationary … gap an inflation rate (Phillips Curve) and structural restrictions over output stochastic dynamics. The estimation is … problems and exhibits more relation with the Peruvian inflation process than other estimates, calculated with the Hodrick …

Persistent link: https://www.econbiz.de/10005699611

Forecasting US Inflation Using Model Averaging

Dijk, Dick van - Econometric Society - 2004

Forecasting inflation remains an intriguing research topic among academics and practitioners alike. Recent studies by … or other macroeconomic and financial variables for the purpose of forecasting inflation. In particular, it is found that … Bayesian Averaging of Classical Estimates (BACE) for forecasting inflation. Based upon the idea of model averaging, the BACE …

Persistent link: https://www.econbiz.de/10005063687

Monetary Magic? How the Fed Improved the Supply Side of the Economy

Sgherri, Silvia; Bayoumi, Tamim - Econometric Society - 2004

Extending recent theoretical contributions on sources of inflation inertia, we argue that monetary uncertainty accounts …

Persistent link: https://www.econbiz.de/10005702768

A component-driven model for regime switching and its empirical evidence

Kuan, Chung-Ming; Huang, Yu-Lieh - Econometric Society - 2004

In this paper we propose a general component-driven model to analyze economic data with different characteristics (or regimes) in different time periods. Motivated by empirical data characteristics, our discussion focuses on a simple model driven by a random walk component and a stationary ARMA...

Persistent link: https://www.econbiz.de/10005086431

Normal Log-normal Mixture: Leptokurtosis, Skewness and Applications

Yang, Minxian - Econometric Society - 2004

The properties and applications of the normal log-normal (NLN) mixture are considered. The moment of the NLN mixture is shown to be finite for any positive order. The expectations of exponential functions of a NLN mixture variable are also investigated. The kurtosis and skewness of the NLN...

Persistent link: https://www.econbiz.de/10005063629

The Effect of Exchange Rate Uncertainty on US Imports from the UK: Consistent OLS Estimation with Volatility Measured by An ARCH-type Model

Podivinsky, Jan M.; Cheong, Chongcheul; Lu, Maozu - Econometric Society - 2004

This paper investigates the effect of exchange rate volatility on US-UK bilateral trade flows. As part of econometric problems arising from a generated variable, we consider a special case when an ARCH type auxiliary model is used to measure uncertainty in the exchange rate and discuss a...

Persistent link: https://www.econbiz.de/10005063661

Threshold Integrated Moving Average Models (Does Size Matter? Maybe So)

Martin, Oscar; Gonzalo, Jesus - Econometric Society - 2004

The aim of this paper is to identify permanent and transitory shocks. This identification is done according to the size of the shocks or the size of some other important economic variable. In order to be able to carry this identification scheme on, we introduce a new class of threshold models:...

Persistent link: https://www.econbiz.de/10005699673

Discretised Non-Linear Filtering for Dynamic Latent Variable Models: with Application to Stochastic Volatility

White, Scott I.; Clements, Adam E.; Hurn, Stan - Econometric Society - 2004

Filtering techniques are often applied to the estimation of dynamic latent variable models. However, these techniques are often based on a set assumptions which restrict models to be specified in a linear state-space form. Numerical filtering techniques have been propsed that avoid invoking such...

Persistent link: https://www.econbiz.de/10005702536

The effect of exchange rate uncertainty on US imports from the UK: Consistent OLS estimation with volatility measured by an ARCH-type model

Podivinsky, Jan M; Cheong, Chongcheul; Lu, Maozu - Econometric Society - 2004

Persistent link: https://www.econbiz.de/10005702708

Testing Intertemporal Rational Expectations Model with State Uncertainty: An Application to the Permanent Income Hypothesis

Huang, Chao-Hsi; Huang, Yue-Lieh - Econometric Society - 2004

In this paper we take a different modeling approach based on the component driven (CD) model developed in Kuan, Huang, and Tsay~(2003) to test the permanent income hypothesis (PIH), an example of intertemporal choice models. A key feature of this approach is that it explicitly allows for state...

Persistent link: https://www.econbiz.de/10005702754