considered for themodelling of economic time series. The focus of this paper is on thesimultaneous estimation of parameters … concerned with themodelling and forecasting of two U.S. macroeconomic time series:inflation and industrial production. …

We investigate changes in the time series characteristics of postwar U.S. inflation. In a model-based analysis the … conditional mean of inflation is specified by a long memory autoregressive fractionally integrated moving average process and the … efficient estimates of the parameters using a monthly dataset of core inflation for which we consider different subsamples of …

applied to quarterly and monthly US inflation in an empirical study. We find that the persistence of quarterly inflation has … the observed time series. We develop a simulated maximum likelihood estimation method based on importance sampling and … and density forecasts for monthly US inflation. …

the Phillips curve over time. We consider different specifications and different measures for inflation. Furthermore, we … include stochastic volatility for the observation errors. Our estimation results are based on practical Bayesian state space ….S. headline inflation has remained empirically relevant over the years. …

A key application of long memory time series models concerns inflation. Long memory implies that shocks have a long … such level shifts are not unlikely for inflation, where the shifts may be caused by sudden oil price shocks, we examine … exaggerated. Our main findings are that apparent longmemory is quite resistant to level shifts, although for a few inflation rates …

model specifications for the parameters are therefore not required. Parameter estimation is carried out in the frequency …