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Relative Goods' Prices, Pure Inflation, and the Phillips Correlation

Reis, Ricardo - 2007

-price changes, and an index of equiproportional changes in all inflation rates, that we label "pure" inflation. The paper estimates … changes to fundamental economic shocks. We use the estimates of the pure inflation and aggregate relative-price components to … answer two questions. First, what share of the variability of inflation is associated with each component, and how are they …

Persistent link: https://www.econbiz.de/10012465024

Implications of Dynamic Factor Models for VAR Analysis

Stock, James H. - 2005

This paper considers VAR models incorporating many time series that interact through a few dynamic factors. Several econometric issues are addressed including estimation of the number of dynamic factors and tests for the factor restrictions imposed on the VAR. Structural VAR identification based...

Persistent link: https://www.econbiz.de/10012467213

Evidence on Structural Instability in Macroeconomic Time Series Relations

Stock, James H. - 1994

An experiment is performed to assess the prevalence of instability in univariate and bivariate macroeconomic time series relations and to ascertain whether various adaptive forecasting techniques successfully handle any such instability. Formal tests for instability and out-of-sample forecasts...

Persistent link: https://www.econbiz.de/10012474068

Core Inflation and Trend Inflation

Stock, James H. - 2015

An important input to monetary policymaking is estimating the current level of inflation. This paper examines … empirically whether the measurement of trend inflation can be improved by using disaggregated data on sectoral inflation to … construct indexes akin to core inflation, but with time-varying distributed lags of weights, where the sectoral weight depends …

Persistent link: https://www.econbiz.de/10012457385

Empirical Bayes Forecasts of One Time Series Using Many Predictors

Knox, Thomas - 2001

We consider both frequentist and empirical Bayes forecasts of a single time series using a linear model with T observations and K orthonormal predictors. The frequentist formulation considers estimators that are equivariant under permutations (reorderings) of the regressors. The empirical Bayes...

Persistent link: https://www.econbiz.de/10012470584

A Probability Model of The Coincident Economic Indicators

Stock, James H. - 1988

The Index of Coincident Economic Indicators, currently compiled by the U.S. Department of Commerce, is designed to measure the state of overall economic activity. The index is constructed as a weighted average of four key macroeconomic time series, where the weights are obtained using rules that...

Persistent link: https://www.econbiz.de/10012476288

Measuring Uncertainty about Long-Run Prediction

Mueller, Ulrich - 2013

Long-run forecasts of economic variables play an important role in policy, planning, and portfolio decisions. We consider long-horizon forecasts of average growth of a scalar variable, assuming that first differences are second-order stationary. The main contribution is the construction of...

Persistent link: https://www.econbiz.de/10012459791

Diffusion Indexes

Stock, James H. - 1998

forecasts based on the estimated factors are efficient. In an application to forecasting U.S. inflation and industrial …

Persistent link: https://www.econbiz.de/10012472111

Testing for Cointegration When Some of the Contributing Vectors are Known

Horvath, Michael T. K. - 1994

cointegration that can be applied when some of the cointegrating vectors are known under the null or under the alternative …

Persistent link: https://www.econbiz.de/10012473958

Business Cycle Properties of Selected U.S. Economic Time Series, 1959-1988

Stock, James H. - 1990

This paper catalogs the business cycle properties of 163 monthly U.S. economic time series over the three decades from 1959 through 1988. Two general sets of summary statistics are reported. The first set measures the comovement of each individual time series with a reference series representing...

Persistent link: https://www.econbiz.de/10012475657