Which econometric specification to characterize the U.S. inflation rate process?

DOI10.1007/S10614-009-9168-4zbMath1187.91154OpenAlexW2044026950MaRDI QIDQ1038769

Mohamed Boutahar, David Gbaguidi

Publication date: 20 November 2009

Published in: Computational Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10614-009-9168-4

zbMATH Keywords

inflationtime varying parameterMarkov switching autoregressiveunknown structural break

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84)

Cites Work

• Unnamed Item
• Unnamed Item
• Menu costs and the long-run output--inflation trade-off.
• Specification testing in Markov-switching time-series models
• Partial indexation, trend inflation, and the hybrid Phillips curve
• Testing for the Constancy of Parameters Over Time
• A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
• Estimating and Testing Linear Models with Multiple Structural Changes
• A Parametric Approach to Flexible Nonlinear Inference
• Inflation Persistence

This page was built for publication: Which econometric specification to characterize the U.S. inflation rate process?