The US Phillips Curve and inflation expectations: A State Space Markov-Switching explanatory model
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- Nicolas Million & Guillaume Guerrero, 2004. "The US Phillips Curve and inflation expectations: A State Space Markov-Switching explanatory model," Econometric Society 2004 Far Eastern Meetings 542, Econometric Society.
References listed on IDEAS
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- Kim Chang-Jin & Kim Yunmi, 2008. "Is the Backward-Looking Component Important in a New Keynesian Phillips Curve?," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 12(3), pages 1-20, September.
More about this item
KeywordsState-Space Markov-Switching model; Inflation expectation errors; Phillips curve; occasionally integrated process;
- E4 - Macroeconomics and Monetary Economics - - Money and Interest Rates
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
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