components, and innovations to trend and gap inflation are affected by stochastic volatility. A novelty of our model is to allow …This paper studies the joint dynamics of U.S. inflation and a term structure of average inflation predictions taken … (UC) model of inflation and a sticky‐information forecast mechanism. The UC model decomposes inflation into trend and gap …

subject to stochastic volatility. It enables the disentanglement of dynamic structures in both the mean and the variance of … the observed time series. We develop a simulated maximum likelihood estimation method based on importance sampling and … applied to quarterly and monthly US inflation in an empirical study. We find that the persistence of quarterly inflation has …

This chapter reviews Bayesian methods for inference and forecasting with VAR models. Bayesian inference and, by …