Ignoring items with large price changes may enhance the informational content of a price index. As an application of the metrically trimmed mean (Kim, 1992) we suggest to discard the individual price changes that deviate the most from the median. Focusing on outliers increases the efficiency...

We characterize the restrictions imposed by the minimal I(2)-to-I(1) transformation that underlies much applied work, e.g. on money demand relationships or open-economy pricing relationships. The relationship between the parameters of the original I(2) vector autoregression, including the...

Equilibrium correction models of the price level are often used to model inflation. Such models assume that the long-run markup of prices over costs is fixed, but this may not be true for the Euro area economy, which has undergone major structural reforms over the last 25 years. We allow for...