The Stochastic Volatility in Mean Model with Time-Varying Parameters: An Application to Inflation Modeling
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- Joshua C. C. Chan, 2017. "The Stochastic Volatility in Mean Model With Time-Varying Parameters: An Application to Inflation Modeling," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 35(1), pages 17-28, January.
References listed on IDEAS
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More about this item
Keywords
nonlinear; state space; inflation forecasting; inflation uncertainty;All these keywords.
JEL classification:
- C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General
- C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
- C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
- E31 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Price Level; Inflation; Deflation
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ECM-2015-03-22 (Econometrics)
- NEP-ETS-2015-03-22 (Econometric Time Series)
- NEP-FOR-2015-03-22 (Forecasting)
- NEP-MAC-2015-03-22 (Macroeconomics)
- NEP-MON-2015-03-22 (Monetary Economics)
- NEP-ORE-2015-03-22 (Operations Research)
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