Modeling U.S. inflation dynamics: a Bayesian nonparametric approach
DOI10.1080/07474938.2013.806199zbMATH Open1491.62230OpenAlexW2055034271MaRDI QIDQ5863552FDOQ5863552
Publication date: 3 June 2022
Published in: Econometric Reviews (Search for Journal in Brave)
Full work available at URL: http://www.rcea.org/RePEc/pdf/wp03_10.pdf
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Bayesian nonparametricsstructural breaksinflation dynamicshierarchical Dirichlet processsticky infinite hidden Markov model
Bayesian inference (62F15) Markov processes: estimation; hidden Markov models (62M05) Applications of statistics to economics (62P20) Nonparametric inference (62G99) Economic growth models (91B62)
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Cited In (7)
- Modeling tail risks of inflation using unobserved component quantile regressions
- Bayesian inference and prediction of a multiple-change-point panel model with nonparametric priors
- The changing dynamics of US inflation persistence: a quantile regression approach
- Bayesian semiparametric modeling of realized covariance matrices
- Autoregressive Moving Average Infinite Hidden Markov-Switching Models
- Non-Markov Gaussian Term Structure Models: The Case of Inflation*
- Nonparametric modeling for the time-varying persistence of inflation
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