Arbeitspapier
Modelling core inflation for the UK using a new dynamic factor estimation method and a large disaggregated price index dataset
Recent work in the macroeconometric literature considers the problem of summarising efficiently a large set of variables and using this summary for a variety of purposes including forecasting. This paper applies a new factor extraction method to the extraction of core inflation and forecasting of UK inflation in the recent past.
- Sprache
-
Englisch
- Erschienen in
-
Series: Working Paper ; No. 471
- Klassifikation
-
Wirtschaft
Estimation: General
Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- Thema
-
Factor models, Subspace methods, State space models
Inflation
Core
Prognoseverfahren
Schätzung
Großbritannien
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Kapetanios, George
- Ereignis
-
Veröffentlichung
- (wer)
-
Queen Mary University of London, Department of Economics
- (wo)
-
London
- (wann)
-
2002
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:45 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Kapetanios, George
- Queen Mary University of London, Department of Economics
Entstanden
- 2002
Ähnliche Objekte (12)
Factor analysis using subspace factor models: Some theoretical results and an application to UK inflation forecasting
Forecasting euro area inflation using dynamic factor measures of underlying inflation
Nonlinear modelling of autoregressive structural breaks in a US diffusion index dataset
Forecasting using Bayesian and information theoretic model averaging: An application to UK inflation
On testing for diagonality of large dimensional covariance matrices
Unit root testing against the alternative hypothesis of up to m structural breaks
A new nonparametric test of cointegration rank
Dynamic factor extraction of cross-sectional dependence in panel unit root tests
Measuring conditional persistence in time series
Testing for strict stationarity
Cluster analysis of panel datasets using non-standard optimisation of information criteria
Using extraneous information and GMM to estimate threshold parameters in TAR models
Factor analysis using subspace factor models: Some theoretical results and an application to UK inflation forecasting
Forecasting euro area inflation using dynamic factor measures of underlying inflation
Nonlinear modelling of autoregressive structural breaks in a US diffusion index dataset
Forecasting using Bayesian and information theoretic model averaging: An application to UK inflation
On testing for diagonality of large dimensional covariance matrices
Unit root testing against the alternative hypothesis of up to m structural breaks
A new nonparametric test of cointegration rank
Dynamic factor extraction of cross-sectional dependence in panel unit root tests
Measuring conditional persistence in time series
Testing for strict stationarity
Cluster analysis of panel datasets using non-standard optimisation of information criteria
Using extraneous information and GMM to estimate threshold parameters in TAR models
Factor analysis using subspace factor models: Some theoretical results and an application to UK inflation forecasting
Forecasting euro area inflation using dynamic factor measures of underlying inflation
Nonlinear modelling of autoregressive structural breaks in a US diffusion index dataset
Forecasting using Bayesian and information theoretic model averaging: An application to UK inflation
On testing for diagonality of large dimensional covariance matrices
Unit root testing against the alternative hypothesis of up to m structural breaks
A new nonparametric test of cointegration rank
Dynamic factor extraction of cross-sectional dependence in panel unit root tests
Measuring conditional persistence in time series
Testing for strict stationarity
Cluster analysis of panel datasets using non-standard optimisation of information criteria