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A model of inflation with variable time lags

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  • Guðmundur Guðmundsson

Abstract

Variable time lags are a possible source of randomness in relationships between economic time series. They are modelled here by means of variable regression coefficients. The model entails heteroscedastic residuals with a negative serial correlation and can be estimated by the Kalman filter. This extension of the traditional regression model is highly significant for the relationship between quarterly values of wages and prices in Iceland.

Suggested Citation

  • Guðmundur Guðmundsson, 1998. "A model of inflation with variable time lags," Economics wp02, Department of Economics, Central bank of Iceland.
    • Handle: RePEc:ice:wpaper:wp02
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    References listed on IDEAS

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    1. Pagan, Adrian, 1980. "Some identification and estimation results for regression models with stochastically varying coefficients," Journal of Econometrics, Elsevier, vol. 13(3), pages 341-363, August.
    2. Hendry, David F., 1995. "Dynamic Econometrics," OUP Catalogue, Oxford University Press, number 9780198283164.
    3. Petursson, Thorarinn G, 1998. "Price Determination and Rational Expectations," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 3(2), pages 157-167, April.
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