EconPapers    
Economics at your fingertips  
 

Measuring Core Inflation by Multivariate Structural Time Series Models

Tommaso Proietti

CEIS Research Paper from Tor Vergata University, CEIS

Abstract: The measurement of core inflation can be carried out by optimal signal extraction techniques based on the multivariate local level model, by imposing suitable restrictions on its parameters. The various restrictions correspond to several specialisations of the model:the core inflation measure becomes the optimal estimate of the common trend in a multivariate time series of inflation rates for a variety of goods and services, or it becomes a minimum variance linear combination of the inflation rates, or it represents the component generated by the common disturbances in a dynamic error component formulation of the multivariate local level model. Particular attention is given to the characterisation of the optimal weighting functions and to the design of signal extraction filters that can be viewed as two sided exponentially weighted moving averages applied to a cross-sectional average of individual inflation rates. An empirical application relative to U.S. monthly inflation rates for 8 expenditure categories is proposed.

Keywords: common trends; dynamic factor analysis; homogeneity; exponential smoothing (search for similar items in EconPapers)
Pages: 21
Date: 2006-05-31
New Economics Papers: this item is included in nep-cba, nep-ets and nep-mon
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
https://ceistorvergata.it/RePEc/rpaper/No-83.pdf (application/pdf)

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:rtv:ceisrp:83

Ordering information: This working paper can be ordered from
CEIS - Centre for Economic and International Studies - Faculty of Economics - University of Rome "Tor Vergata" - Via Columbia, 2 00133 Roma
https://ceistorvergata.it

Access Statistics for this paper

More papers in CEIS Research Paper from Tor Vergata University, CEIS CEIS - Centre for Economic and International Studies - Faculty of Economics - University of Rome "Tor Vergata" - Via Columbia, 2 00133 Roma. Contact information at EDIRC.
Bibliographic data for series maintained by Barbara Piazzi ().

 
Page updated 2024-11-02
Handle: RePEc:rtv:ceisrp:83