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Modelling Core Inflation for the UK Using a New Dynamic Factor Estimation Method and a Large Disaggregated Price Index Dataset

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Author Info
George Kapetanios () (Queen Mary, University of London)

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Abstract

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.

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File URL: http://www.econ.qmul.ac.uk/papers/doc/wp471.pdf
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Publisher Info
Paper provided by Queen Mary, University of London, Department of Economics in its series Working Papers with number 471.

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Date of creation: Nov 2002
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Handle: RePEc:qmw:qmwecw:wp471

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Related research
Keywords: Factor models Subspace methods State space models

Find related papers by JEL classification:
C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Estimation
C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models

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Cited by:
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  1. George Kapetanios, 2007. "Dynamic factor extraction of cross-sectional dependence in panel unit root tests," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 22(2), pages 313-338. [Downloadable!]
  2. Gonzalo Camba-Méndez & George Kapetanios, 2004. "Forecasting euro area inflation using dynamic factor measures of underlying inflation," Working Paper Series 402, European Central Bank. [Downloadable!]
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