Modeling Inflation in Australia
This article develops an empirically constant, data-coherent, error-correction model for inflation in Australia. The level of consumer prices is a markup over domestic and import costs, with adjustments for dynamics and relative aggregate demand. The authors address issues of cointegration, general to specific modeling, dynamic specification, model evaluation and testing, parameter constancy, forecasting, and exogeneity. They also test this model against existing models of Australian prices: this model encompasses, but is not encompassed by, the existing models.
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Volume (Year): 16 (1998)
Issue (Month): 4 (October)
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References listed on IDEAS
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- Smith, Gregor W, 1986. "A Dynamic Baumol-Tobin Model of Money Demand," Review of Economic Studies, Wiley Blackwell, vol. 53(3), pages 465-69, July.
- Nicholls, D F & Pagan, A R, 1983. "Heteroscedasticity in Models with Lagged Dependent Variables," Econometrica, Econometric Society, vol. 51(4), pages 1233-42, July.
- Banerjee, Anindya & Dolado, Juan J. & Galbraith, John W. & Hendry, David, 1993. "Co-integration, Error Correction, and the Econometric Analysis of Non-Stationary Data," OUP Catalogue, Oxford University Press, number 9780198288107.
- Godfrey, Leslie G, 1978. "Testing against General Autoregressive and Moving Average Error Models When the Regressors Include Lagged Dependent Variables," Econometrica, Econometric Society, vol. 46(6), pages 1293-1301, November.
- Ericsson, Neil R, 1983. "Asymptotic Properties of Instrumental Variables Statistics for Testing Non-Nested Hypotheses," Review of Economic Studies, Wiley Blackwell, vol. 50(2), pages 287-304, April.
- Osterwald-Lenum, Michael, 1992. "A Note with Quantiles of the Asymptotic Distribution of the Maximum Likelihood Cointegration Rank Test Statistics," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 54(3), pages 461-72, August.
- Michael Coelli & Jerome Fahrer, 1992. "Indicators of Inflationary Pressure," RBA Research Discussion Papers rdp9207, Reserve Bank of Australia.
- Franz, Wolfgang & Gordon, Robert J., 1993. "German and American wage and price dynamics: Differences and common themes," Discussion Papers 2, University of Konstanz, Center for International Labor Economics (CILE).
- Hendry, David F., 1995. "Dynamic Econometrics," OUP Catalogue, Oxford University Press, number 9780198283164.
- Metin, Kivilcim, 1995. "An Integrated Analysis of Turkish Inflation," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 57(4), pages 513-31, November.
- Banerjee, Anindya, et al, 1986. "Exploring Equilibrium Relationships in Econometrics through Static Models: Some Monte Carlo Evidence," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 48(3), pages 253-77, August.
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