Measuring core inflation by multivariate structural time series models

MaRDI QIDQ5297409zbMATH OpenFDO

Authors Tommaso Proietti

Publication date 18 July 2007

zbMATH Keywords

common trendsdynamic factor analysisexponential smoothinghomogeneityWiener-Kolmogorov filter

Mathematics Subject Classification ID

Hypothesis testing in multivariate analysis (62H15) Factor analysis and principal components; correspondence analysis (62H25) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and prediction (62M20) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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(13)

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• Core inflation rate for China and the ASEAN-10 countries: smoothed signal for score-driven local level plus scale models
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