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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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  • George Kapetanios

    ()
    (Queen Mary, University of London)

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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Bibliographic Info

Paper provided by Queen Mary, University of London, School of Economics and Finance 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;

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Cited by:
  1. Sandra Eickmeier & Katharina Pijnenburg, 2013. "The Global Dimension of Inflation – Evidence from Factor-Augmented Phillips Curves," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 75(1), pages 103-122, 02.
  2. Gonzalo Camba-Mendez & George Kapetanios, 2005. "Statistical Tests of the Rank of a Matrix and Their Applications in Econometric Modelling," Working Papers 541, Queen Mary, University of London, School of Economics and Finance.
  3. Juan-Ángel Jiménez-Martín & Alfonso Novales Cinca, 2009. "State-Uncertainty preferences and the Risk Premium in the Exchange rate market," Documentos de Trabajo del ICAE 0917, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  4. Mikael Khan & Louis Morel & Patrick Sabourin, 2013. "The Common Component of CPI: An Alternative Measure of Underlying Inflation for Canada," Working Papers 13-35, Bank of Canada.
  5. Kapetanios, George, 2004. "A note on modelling core inflation for the UK using a new dynamic factor estimation method and a large disaggregated price index dataset," Economics Letters, Elsevier, vol. 85(1), pages 63-69, October.
  6. 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.
  7. Kapetanios, George, 2007. "Variable selection in regression models using nonstandard optimisation of information criteria," Computational Statistics & Data Analysis, Elsevier, vol. 52(1), pages 4-15, September.
  8. Jörg Breitung & Sandra Eickmeier, 2006. "Dynamic factor models," AStA Advances in Statistical Analysis, Springer, vol. 90(1), pages 27-42, March.
  9. Michael Funke & Hao Yu & Aaron Mehrota, 2011. "Tracking Chinese CPI inflation in real time," Quantitative Macroeconomics Working Papers 21112, Hamburg University, Department of Economics.
  10. Camba-Méndez, Gonzalo & Kapetanios, George, 2004. "Forecasting euro area inflation using dynamic factor measures of underlying inflation," Working Paper Series 0402, European Central Bank.
  11. Alan K. Detmeister, 2011. "The usefulness of core PCE inflation measures," Finance and Economics Discussion Series 2011-56, Board of Governors of the Federal Reserve System (U.S.).
  12. Rachel Holden, 2006. "Measuring core inflation," Reserve Bank of New Zealand Bulletin, Reserve Bank of New Zealand, vol. 69, pages 7p, December.

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