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Modelling core inflation for the UK using a new dynamic factor estimation method and a large disaggregated price index dataset

Kapetanios, George - 2002

method to the extraction of core inflation and forecasting of UK inflation in the recent past. …

Persistent link: https://www.econbiz.de/10010289030

The elusive persistence: Wage and price rigidities, the Phillips curve, and inflation dynamics

Tsoukis, Chris; Kapetanios, George; Pearlman, Joseph - 2007

We review the main New Keynesian inflation equations that have arisen as a result of aggregation from individual firms …' price rigidities. We find that, on the whole, they cannot account for inflation persistence, a key feature of the empirical … dynamics of inflation, and with important policy implications. The only exception seems to be when price stickiness is combined …

Persistent link: https://www.econbiz.de/10010284218

Testing for cointegration in nonlinear STAR error correction models

Kapetanios, George; Shin, Yongcheol; Snell, Andrew J. - 2003

-known residual-based test for cointegration in linear models by Engle and Granger (1987) and obtain its nonlinear analogue. We derive … cointegration, whereas the linear-based tests fail to do so. Further analysis of impulse response functions of error correction …

Persistent link: https://www.econbiz.de/10010284189

Factor analysis using subspace factor models: Some theoretical results and an application to UK inflation forecasting

Kapetanios, George - 2002

Recent work in the macroeconometric literature considers the problem of summarising efficiently a large set of variables and using this summary for a variety of purposes including forecasting. Work in this field has been carried out in a series of recent papers. This paper provides an...

Persistent link: https://www.econbiz.de/10010284132

A new nonparametric test of cointegration rank

Kapetanios, George - 2003

This paper suggests a new nonparametric testing procedure for determining the rank of nonstationary multivariate cointegrated systems. The asymptotic properties of the procedure are determined and a Monte Carlo study is carried out.

Persistent link: https://www.econbiz.de/10010284124

A note on joint estimation of common cycles and common trends in nonstationary multivariate systems

Kapetanios, George - 2003

We provide a new method for jointly consistently estimating common trends and cycles in unit root nonstationary multivariate systems. We concentrate on the MA representation of the differenced data and we jointly impose the reduced rank restriction for the common cycles and the common trends on...

Persistent link: https://www.econbiz.de/10010284147

Testing for neglected nonlinearity in cointegrating relationships

Blake, Andrew P.; Kapetanios, George - 2004

This paper proposes pure significance tests for the absence of nonlinearity in cointegrating relationships. No assumption of the functional form of the nonlinearity is made. It is envisaged that the application of such tests could form the first step towards specifying a nonlinear cointegrating...

Persistent link: https://www.econbiz.de/10010284167

Forecasting with measurement errors in dynamic models

Harrison, Richard T.; Kapetanios, George - 2004

In this paper we explore the consequences for forecasting of the following two facts: first, that over time statistical agencies revise and improve published data, so that observations on more recent events are those that are least well measured. Second, that economies are such that observations...

Persistent link: https://www.econbiz.de/10010284100

Forecasting financial crises and contagion in Asia using dynamic factor analysis

Cipollini, Andrea; Kapetanios, George - 2005

In this paper we compare the performance of a regional indicator of vulnerability in predicting, out of sample, the crisis events affecting the South East Asian region during the 1997-98 period. A Dynamic Factor method was used to retrieve the vulnerability indicator and stochastic simulation is...

Persistent link: https://www.econbiz.de/10010284126

Estimating time-variation in measurement error from data revisions: An application to forecasting in dynamic models

Kapetanios, George; Yates, Anthony - 2004

Over time, economic statistics are refined. This means that newer data is typically less well measured than old data. Time variation in measurement error like this influences how forecasts should be made. We show how modelling the behaviour of the statistics agency generates both an estimate of...

Persistent link: https://www.econbiz.de/10010284141