Common faith or parting ways? A time varying parameters factor analysis of euro-area inflation
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- Davide Delle Monache & Ivan Petrella & Fabrizio Venditti, 2016. "Common Faith or Parting Ways? A Time Varying Parameters Factor Analysis of Euro-Area Inflation," Advances in Econometrics, in: Eric Hillebrand & Siem Jan Koopman (ed.), Dynamic Factor Models, volume 35, pages 539-565, Emerald Publishing Ltd.
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Cited by:
- Gary Koop & Dimitris Korobilis, 2019.
"Forecasting with High‐Dimensional Panel VARs,"
Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 81(5), pages 937-959, October.
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Credit and Capital Markets, Credit and Capital Markets, vol. 51(4), pages 513-560.
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- Fabio Busetti & Michele Caivano & Davide Delle Monache, 2021.
"Domestic and Global Determinants of Inflation: Evidence from Expectile Regression,"
Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 83(4), pages 982-1001, August.
- Fabio Busetti & Michele Caivano & Davide Delle Monache, 2019. "Domestic and global determinants of inflation: evidence from expectile regression," Temi di discussione (Economic working papers) 1225, Bank of Italy, Economic Research and International Relations Area.
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Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 37(4), pages 700-721, June.
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Empirical Economics, Springer, vol. 53(1), pages 351-372, August.
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More about this item
Keywords
inflation; time-varying parameters; score driven models; state space models; dynamics factor models.;All these keywords.
JEL classification:
- E31 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Price Level; Inflation; Deflation
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
NEP fields
This paper has been announced in the following NEP Reports:- NEP-CBA-2016-05-08 (Central Banking)
- NEP-EEC-2016-05-08 (European Economics)
- NEP-MON-2016-05-08 (Monetary Economics)
- NEP-PKE-2016-05-08 (Post Keynesian Economics)
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