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Factor Analysis Using Subspace Factor Models : Some Theoretical Results and an Application to UK Inflation Forecasting
Kapetanios, George - 2003
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/10014099165
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Forecasting Euro Area Inflation Using Dynamic Factor Measures of Underlying Inflation
Camba-Mendez, Gonzalo; Kapetanios, George - 2021
use of measures of underlying inflation to formulate monetary policy and assist in forecasting observed inflation. Recent … measures of underlying inflation built from more traditional methods. The power to forecast headline inflation over horizons of …
Persistent link: https://www.econbiz.de/10013319014
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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/10014093431
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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/10014093432
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Testing for Cointegration in Nonlinear Star Error Correction Models
Kapetanios, George; Shin, Yongcheol; Snell, Andy - 2005
-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/10014076100
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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
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Forecasting euro area inflation using dynamic factor measures of underlying inflation
Camba-Méndez, Gonzalo; Kapetanios, George - 2004
Standard measures of prices are often contaminated by transitory shocks. This has prompted economists to suggest the use of measures of underlying in?ation to formulate monetary policy and assist in forecasting observed in?ation. Recent work has concentrated on modelling large datasets using...
Persistent link: https://www.econbiz.de/10011604448
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Forecasting euro area inflation using dynamic factor measures of underlying inflation
Camba-Méndez, Gonzalo; Kapetanios, George - 2004
use of measures of underlying inflation to formulate monetary policy and assist in forecasting observed inflation. Recent … measures of underlying inflation built from more traditional methods. The power to forecast headline inflation over horizons of …
Persistent link: https://www.econbiz.de/10009639462
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State-level wage Phillips curves
Kapetanios, George - 2020
Two reduced-form versions of New Keynesian wage Phillips curves based on either sticky nominal wages or real-wage rigidity using monthly US state-level data for the period 1982-2016 are examined, taking account of the endogeneity of unemployment by instrumentation and the use of common...
Persistent link: https://www.econbiz.de/10012841943
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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