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Estimation of Unobserved Expected Monthly Inflation Using Kalman Filtering

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  • Burmeister, Edwin
  • Wall, Kent D
  • Hamilton, James D

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Bibliographic Info

Article provided by American Statistical Association in its journal Journal of Business and Economic Statistics.

Volume (Year): 4 (1986)
Issue (Month): 2 (April)
Pages: 147-60

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Handle: RePEc:bes:jnlbes:v:4:y:1986:i:2:p:147-60

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Cited by:
  1. McCluskey, Jill Jennifer & Rausser, Gordon C, 2000. "Estimation of perceived risk and its effect on property values," CUDARE Working Paper Series 879R, University of California at Berkeley, Department of Agricultural and Resource Economics and Policy.
  2. Giorgio Valente, 2003. "Monetary policy rules and regime shifts," Applied Financial Economics, Taylor & Francis Journals, vol. 13(7), pages 525-535.
  3. V. V. Chari & Patrick J. Kehoe & Ellen R. McGrattan, 2007. "Are structural VARs with long-run restrictions useful in developing business cycle theory?," Staff Report 364, Federal Reserve Bank of Minneapolis.
  4. Ellen R. McGrattan, 2006. "Measurement with minimal theory," Working Papers 643, Federal Reserve Bank of Minneapolis.
  5. Richard H. Jefferis, Jr., 1990. "Expectations and the core rate of inflation," Economic Review, Federal Reserve Bank of Cleveland, issue Q IV, pages 13-21.
  6. Andreas Reschreiter, 2004. "Risk factors of inflation-indexed and conventional government bonds and the APT," Money Macro and Finance (MMF) Research Group Conference 2003 79, Money Macro and Finance Research Group.
  7. Andrew Ang & Geert Bekaert & Min Wei, 2007. "The Term Structure of Real Rates and Expected Inflation," NBER Working Papers 12930, National Bureau of Economic Research, Inc.
  8. Jacobs, Jan P.A.M. & van Norden, Simon, 2011. "Modeling data revisions: Measurement error and dynamics of "true" values," Journal of Econometrics, Elsevier, vol. 161(2), pages 101-109, April.
  9. Renne, J-P., 2009. "Frequency-domain analysis of debt service in a macro-finance model for the euro area," Working papers 261, Banque de France.
  10. Vadim Khramov, 2013. "Estimating Parameters of Short-Term Real Interest Rate Models," IMF Working Papers 13/212, International Monetary Fund.
  11. Junttila, Juha, 2001. "Structural breaks, ARIMA model and Finnish inflation forecasts," International Journal of Forecasting, Elsevier, vol. 17(2), pages 203-230.
  12. Nathan S. Balke & Mark E. Wohar, 2001. "Low frequency movements in stock prices: a state space decomposition," Working Papers 0001, Federal Reserve Bank of Dallas.
  13. V. V. Chari & Patrick J. Kehoe & Ellen R. McGrattan, 2005. "A critique of structural VARs using real business cycle theory," Working Papers 631, Federal Reserve Bank of Minneapolis.
  14. Francisco Nadal De Simone, 2001. "Inflation Forecasting in Chile," Journal Economía Chilena (The Chilean Economy), Central Bank of Chile, vol. 4(3), pages 59-85, December.

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