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RATS programs to replicate Quah and Vahey core inflation estimation

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  • Tom Doan

    (Estima)

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Abstract

In this paper, the authors argue that measured (retail price index) inflation is conceptually mismatched with core inflation: the difference is more than just 'measurement error.' They propose a technique for measuring core inflation based on an explicit long-run economic hypothesis. Core inflation is defined as that component of measured inflation that has no (medium- to) long-run impact on real output--a notion that is consistent with the vertical long-run Phillips curve interpretation of the comovements in inflation and output. The authors construct a measure of core inflation by placing dynamic restrictions on a vector autoregression system. Copyright 1995 by Royal Economic Society.

(This abstract was borrowed from another version of this item.)

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File URL: http://www.estima.com/procs_perl/quahvaheyej1995.zip
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Bibliographic Info

Software component provided by Boston College Department of Economics in its series Statistical Software Components with number RTZ00139.

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Programming language: RATS
Requires: RATS 8.00
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Handle: RePEc:boc:bocode:rtz00139

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Related research

Keywords: Blanchard-Quah model; VAR with short- and long-run restrictions;

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