Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/62851
Authors: 
Kapetanios, George
Year of Publication: 
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

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