Do Fluctuations in U.S. Inflation Rates Reflect Infrequent Large Shocks or Frequent Small Shocks?

Prasad Bidarkota ()

The Review of Economics and Statistics, 2003, vol. 85, issue 3, 765-771

Abstract: We investigate whether fluctuations in U.S. inflation rates are better described by infrequently occurring large shocks or by frequently occurring small shocks. We estimate a model that encompasses the two hypotheses within the framework of non-Gaussian state-space models. Our results indicate support for infrequently occurring large shocks, but this weakens somewhat once we allow for outliers and conditional heteroskedasticity. It appears that, for the purpose of forecasting monthly U.S. inflation rates, recognizing the distinction between frequent small shocks and infrequent large shocks does not matter much once outliers and conditional heteroskedasticity are allowed for. © 2003 President and Fellows of Harvard College and the Massachusetts Institute of Technology.

Date: 2003
References: Add references at CitEc
Citations: View citations in EconPapers (5)

Downloads: (external link)
http://www.mitpressjournals.org/doi/pdf/10.1162/003465303322369894 link to full text (application/pdf)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:tpr:restat:v:85:y:2003:i:3:p:765-771

Ordering information: This journal article can be ordered from
https://mitpressjour ... rnal/?issn=0034-6535

Access Statistics for this article

The Review of Economics and Statistics is currently edited by Pierre Azoulay, Olivier Coibion, Will Dobbie, Raymond Fisman, Benjamin R. Handel, Brian A. Jacob, Kareen Rozen, Xiaoxia Shi, Tavneet Suri and Yi Xu

More articles in The Review of Economics and Statistics from MIT Press
Bibliographic data for series maintained by The MIT Press ().