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Modelling Core Inflation for the UK Using a New Dynamic Factor Estimation Method and a Large Disaggregated Price Index Dataset

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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File URL: http://www.econ.qmul.ac.uk/papers/doc/wp471.pdf
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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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