A model of inflation with variable time lags
Variable time lags are a possible source of randomness in relationships between economic time series. They are modelled here by means of variable regression coefficients. The model entails heteroscedastic residuals with a negative serial correlation and can be estimated by the Kalman filter. This ex...
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| Format: | Report |
| Language: | unknown |
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| Online Access: | http://www.sedlabanki.is/uploads/files/Wp-2.pdf |
| Summary: | Variable time lags are a possible source of randomness in relationships between economic time series. They are modelled here by means of variable regression coefficients. The model entails heteroscedastic residuals with a negative serial correlation and can be estimated by the Kalman filter. This extension of the traditional regression model is highly significant for the relationship between quarterly values of wages and prices in Iceland. |
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