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dc.contributor.authorHürlimann, Werneren_US
dc.date.accessioned2012-03-22en_US
dc.date.accessioned2012-05-22T16:45:40Z-
dc.date.available2012-05-22T16:45:40Z-
dc.date.issued2012en_US
dc.identifier.citationJournal of Statistical and Econometric Methods 2241-0376 International Scientific Press 1 2012 1 93-101en_US
dc.identifier.urihttp://hdl.handle.net/10419/58010-
dc.description.abstractA severe limitation of the original autoregressive process of order one or AR(1) process is the Gaussian nature of the assumed residual error distribution while the observed sample residual errors tend to be much more skewed and have a much higher kurtosis than is allowed by a normal distribution. Four non-Gaussian noise specifications are considered, namely the normal inverse Gaussian, the skew Student t, the normal Laplace and the reshaped Hermite-Gauss distributions. Besides predictive distributional properties of some of these AR(1) processes, an in-depth analysis of the fitting capabilities of these models is undertaken. For the Swiss consumer price index, it is shown that the AR(1) with normal Laplace (NL) noise has the best goodness-of-fit in a dual sense for four types of estimators. On the one hand the moment estimators of the NL residual error distribution yield the smallest Anderson-Darling, Cramér-von Mises and chi-square statistics, and on the other hand the minimum of these three statistics is also reached by the NL distribution.en_US
dc.language.isoengen_US
dc.publisherInternational Scientific Pressen_US
dc.subject.ddc330en_US
dc.subject.keywordforce of inflationen_US
dc.subject.keywordAR(1)en_US
dc.subject.keywordnormal inverse Gaussianen_US
dc.subject.keywordskew student ten_US
dc.subject.keywordnormal laplaceen_US
dc.subject.keywordHermite-Gaussen_US
dc.subject.keywordBera-Jarque statisticen_US
dc.subject.keywordCramér-von Mises statisticen_US
dc.subject.keywordAnderson-Darling statisticen_US
dc.titleOn non-Gaussian AR(1) inflation modelingen_US
dc.typeArticleen_US
dc.identifier.ppn689055471en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen_US
Appears in Collections:Journal of Statistical and Econometric Methods

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