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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| Online Access: | http://www.sedlabanki.is/uploads/files/Wp-2.pdf |
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ftrepec:oai:RePEc:ice:wpaper:wp02 2024-04-14T08:13:35+00:00 A model of inflation with variable time lags Guðmundur Guðmundsson http://www.sedlabanki.is/uploads/files/Wp-2.pdf unknown http://www.sedlabanki.is/uploads/files/Wp-2.pdf preprint ftrepec 2024-03-19T10:36:11Z 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. Report Iceland RePEc (Research Papers in Economics) |
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Open Polar |
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RePEc (Research Papers in Economics) |
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ftrepec |
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unknown |
| description |
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. |
| format |
Report |
| author |
Guðmundur Guðmundsson |
| spellingShingle |
Guðmundur Guðmundsson A model of inflation with variable time lags |
| author_facet |
Guðmundur Guðmundsson |
| author_sort |
Guðmundur Guðmundsson |
| title |
A model of inflation with variable time lags |
| title_short |
A model of inflation with variable time lags |
| title_full |
A model of inflation with variable time lags |
| title_fullStr |
A model of inflation with variable time lags |
| title_full_unstemmed |
A model of inflation with variable time lags |
| title_sort |
model of inflation with variable time lags |
| url |
http://www.sedlabanki.is/uploads/files/Wp-2.pdf |
| genre |
Iceland |
| genre_facet |
Iceland |
| op_relation |
http://www.sedlabanki.is/uploads/files/Wp-2.pdf |
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1796311588379033600 |