Has the Volatility of U.S. Inflation Changed and How?

DOI10.2202/1941-1928.1050zbMath1266.91067OpenAlexW1991606998MaRDI QIDQ4928521

Tommaso Proietti, Stefano Grassi

Publication date: 14 June 2013

Published in: Journal of Time Series Econometrics (Search for Journal in Brave)

Full work available at URL: https://kar.kent.ac.uk/50759/1/jtse.2010.2.1.1050.pdf

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Bayesian inference (62F15) Monte Carlo methods (65C05) Economic time series analysis (91B84) Stochastic models in economics (91B70) Economic models of real-world systems (e.g., electricity markets, etc.) (91B74)

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Particle Markov chain Monte Carlo techniques of unobserved component time series models using Ox ⋮ Flexible model comparison of unobserved components models using particle Gibbs with ancestor sampling ⋮ Modeling U.S. Inflation Dynamics: A Bayesian Nonparametric Approach

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