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Unobserved Components with Stochastic Volatility in U.S. Inflation : Estimation and Signal Extraction

Li, Mengheng - 2018

applied to quarterly and monthly US inflation in an empirical study. We find that the persistence of quarterly inflation has … and density forecasts for monthly US inflation …

Persistent link: https://www.econbiz.de/10012924242

An empirical assessment of the U.S. Phillips curve over time

Vlekke, Marente; Koopman, Siem Jan; Mellens, Martin C. - 2021

the Phillips curve over time. We consider different specifications and different measures for inflation. Furthermore, we ….S. headline inflation has remained empirically relevant over the years. …

Persistent link: https://www.econbiz.de/10012665848

Unobserved components with stochastic volatility in U.S. inflation : estimation and signal extraction

Li, Mengheng; Koopman, Siem Jan - 2018

applied to quarterly and monthly US inflation in an empirical study. We find that the persistence of quarterly inflation has … and density forecasts for monthly US inflation. …

Persistent link: https://www.econbiz.de/10011809984

Time series models with a common stochastic variance for analysing economic time series

Koopman, Siem Jan; Bos, Charles S. - 2002

concerned with themodelling and forecasting of two U.S. macroeconomic time series:inflation and industrial production. …

Persistent link: https://www.econbiz.de/10011327834

Forecasting Macroeconomic Variables using Collapsed Dynamic Factor Analysis

Brauning, Falk; Koopman, Siem Jan - 2012

We explore a new approach to the forecasting of macroeconomic variables based on a dynamic factor state space analysis. Key economic variables are modeled jointly with principal components from a large time series panel of macroeconomic indicators using a multivariate unobserved components time...

Persistent link: https://www.econbiz.de/10010326452