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Title:Modelling core inflation for the UK using a new dynamic factor estimation method and a large disaggregated price index dataset PDF Logo
Authors:Kapetanios, George
Issue Date:2002
Series/Report no.:Working Paper, Department of Economics, Queen Mary, University of London 471
Abstract: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.
Subjects:Factor models, Subspace methods, State space models
JEL:C13
C32
Document Type:Working Paper
Appears in Collections:Working Paper Series, School of Economics and Finance, Queen Mary, University of London

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