Changing time series properties of US inflation and economic activity, measured as marginal costs, are modeled within a set of extended Phillips Curve (PC) models. It is shown that mechanical removal or modeling of simple low frequency movements in the data may yield poor predictive results...

We provide new evidence on the role of economic policy uncertainty (EPU) in aggregate real economic activity in the US using a multiple-horizon Granger causality framework, while allowing for infrequent shifts in mean levels and growth rates of the system variables. Our empirical investigation...

This discussion paper resulted in a publication in the <A href="http://onlinelibrary.wiley.com/doi/10.1002/jae.2411/full">'Journal of Applied Econometrics'</A>, 2014, 29(7), 1164-1182.<P> Changing time series properties of US inflation and economic activity, measured as marginal costs, are modeled within a set of extended Phillips Curve (PC) models. It is shown that...</p></a>

The asymptotic distributions of Augmented-Dickey-Fuller (ADF) unit root tests for autoregressive processes with a unit or near-unit root are discussed in the presence of multiple stochastic level shifts of large size occurring independently in time. The distributions depend on a Brownian motion...

We examine if US inflation rates series can be characterized by a long-memory model, by a model with occasional level shifts or by a new model, which jointly captures the two features. Through simulations we show that this new model can be usefully applied in practice. For 23 inflation rate...

A key application of long memory time series models concerns inflation. Long memory implies that shocks have a long-lasting effect. It may however be that empirical evidence for long memory is caused by neglecting one or more level shifts. Since such level shifts are not unlikely for inflation,...

The finite sample properties of the state space methods applied to long memory time series are analyzed through Monte Carlo simulations. The state space setup allows to introduce a novel modeling approach in the long memory framework, which directly tackles measurement errors and random level...

The aim of this article is to examine the process of economic growth in the regions of Chile using a time series approach.In particular,we test the hypothesis of a unit root in the log of the ratios of per capita product between every possible pair taken from the 13 regions.The ‘acceptance’...

We examine if US inflation rates series can be characterized by a long-memory model, by a model with occasional level shifts or by a new model, which jointly captures the two features. Through simulations we show that this new model can be usefully applied in practice. For 23 inflation rate...