This article develops a novel nonparametric time-varying auto-regressive distributed-lag model to estimate and test the persistence of inflation. To characterize the temporal instability of persistence in the inflation process, our proposed model allows for time-varying coefficients with...

This appendix to “Nonparametric Modeling for the Time-Varying Persistence of Inflation” presents supplementary results using an alternative measure of inflation based on the GDP deflator. First, we provide the local linear estimation results of time-varying inflation persistence using...

This paper proposes a novel semiparametric time-varying model for long-horizon predictive regressions in which the coefficients are allowed to change over time with unspecified functional forms. A linear projection method is employed to deal with the embedded endogeneity issue. We pursue an...

According to the log-linear return approximation, the ability of a predictor to predict future stock returns may arise from its ability to predict either the cash flows or the discount rates, or both. This paper introduces novel nonparametric approaches for estimating and testing the time...