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

DOI10.1007/S10614-009-9168-4MaRDI QIDQ1038769zbMATH OpenOpenAlexFDO

Authors 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

inflationMarkov switching autoregressivetime varying parameterunknown structural break

Mathematics Subject Classification ID

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

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Cites work

• A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
• A Parametric Approach to Flexible Nonlinear Inference
• Estimating and Testing Linear Models with Multiple Structural Changes
• scientific article; zbMATH DE number 777596 (Why is no real title available?)
• scientific article; zbMATH DE number 3202089 (Why is no real title available?)
• Inflation Persistence
• Menu costs and the long-run output--inflation trade-off.
• Partial indexation, trend inflation, and the hybrid Phillips curve
• Specification testing in Markov-switching time-series models
• Testing for the Constancy of Parameters Over Time

Cited in

(1)

• Inflation, Money Growth, and I(2) Analysis

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