Cogley, Timothy; Primiceri, Giorgio; Sargent, Thomas - National Bureau of Economic Research (NBER) - 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 …