We use noncausal autoregressions to examine the persistence properties of quarterly U.S. consumer price inflation from … 1970:1-2012:2. These nonlinear models capture the autocorrelation structure of the inflation series as accurately as their … conventional causal counterparts, but they allow for persistence to depend on the size and sign of shocks to inflation as well as …

We propose a noncausal autoregressive model with time-varying parameters, and apply it to U.S. postwar inflation. The … model fits the data well, and the results suggest that inflation persistence follows from future expectations. Persistence … curve indicate that current inflation also depends on past inflation although future expectations dominate. The implied …

ability to describe the US inflation data. Specifically, the model allows for long memory in the conditional mean formulation … yields a good description of the salient features, including skewness and heteroskedasticity, of the US inflation data … ; Inflation ; Long Memory ; Normal Mixture …

We use noncausal autoregressions to examine the persistence properties of quarterly U.S. consumer price inflation from … 1970:1.2012:2. These nonlinear models capture the autocorrelation structure of the inflation series as accurately as their … conventional causal counterparts, but they allow for persistence to depend on the size and sign of shocks to inflation as well as …

We propose a noncausal autoregressive model with time-varying parameters, and apply it to U.S. postwar inflation. The … model .fits the data well, and the results suggest that inflation persistence follows from future expectations. Persistence … curve indicate that current inflation also depends on past inflation although future expectations dominate. The implied …

attain local stationarity and bounded mean values. The model is applied to the analysis of inflation dynamics. Allowing for …

ability to describe the US inflation data. Specifically, the model allows for long memory in the conditional mean formulation … yields a good description of the salient features, including skewness and heteroskedasticity, of the US inflation data … ; inflation ; long memory ; normal mixture …

The estimation of inflation volatility is important to Central Banks as it guides their policy initiatives for … Heteroscedasticity (GARCH) family with a view to providing a parsimonious approximation to the dynamics of Nigeria's inflation volatility … and food CPI, implying that the impacts of inflation shocks on their volatilities die away very slowly. However, the …

In this paper, I apply univariate and vector autoregressive (VAR) models to forecast inflation in Vietnam. To … properties of inflation in Vietnam. Then, I compute the pseudo out-of-sample root mean square error (RMSE) as a measure of … forecasting models from among the different candidates. I find that VAR_m2 is the best monthly model to forecast inflation in …