Noncausality and inflation persistence

DOI10.1515/SNDE-2013-0108zbMATH Open1506.91128OpenAlexW3121772333WikidataQ61626442 ScholiaQ61626442MaRDI QIDQ2687883FDOQ2687883

Authors: Markku Lanne 

Publication date: 7 March 2023

Published in: Studies in Nonlinear Dynamics & Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/snde-2013-0108

Recommendations

• The changing dynamics of US inflation persistence: a quantile regression approach
• Noncausal autoregressions for economic time series
• Nonparametric modeling for the time-varying persistence of inflation
• Autoregression-based estimation of the New Keynesian Phillips curve
• Predictable non-linearities in U.S. inflation

zbMATH Keywords

inflation persistencegeneralized impulse response functionnoncausal autoregression

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Economic time series analysis (91B84) Economic growth models (91B62)

Cites Work

• Maximum likelihood estimation for all-pass time series models
• Noncausal autoregressions for economic time series
• DSGE models with Student-\(t\) errors
• Maximum likelihood estimation for noncausal autoregressive processes
• Noncausal vector autoregression
• Impulse response analysis in nonlinear multivariate models
• A floor and ceiling model of US output
• Autoregression-based estimation of the New Keynesian Phillips curve
• Absorption of shocks in nonlinear autoregressive models
• Noncausality and asset pricing

Cited In (9)

• Noncausal autoregressions for economic time series
• The changing dynamics of US inflation persistence: a quantile regression approach
• Inflation Persistence
• Modeling U.S. inflation dynamics: a Bayesian nonparametric approach
• A new test of the inflation-real marginal cost relationship: ARDL bounds approach
• Inflation persistence under semi-fixed exchange rate regimes: the European evidence 1974--1998
• Semiparametric Bayesian inference for time-varying parameter regression models with stochastic volatility
• Predictable non-linearities in U.S. inflation
• Nonparametric modeling for the time-varying persistence of inflation

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