Bidarkota, Prasad V.; McCulloch, J. Huston - In: Journal of Applied Econometrics 13 (1998) 6, pp. 659-670
Monthly inflation in the United States indicates non-normality in the form of either occasional big shocks or marked changes in the level of the series. We develop a univariate state space model with symmetric stable shocks for this series. The non-Gaussian model is estimated by the...