A state space model for inflation

A state space model for inflation

Evidence has shown that the constant parameter assumption in Wilkie's Inflation model may be too restrictive. In this work we investigate the model proposed by Arsad (1999), where the mean level of inflation is assume to follow an AR(1) process. We compare the result obtained when prior knowled...

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Main Author: Tippa, Anthony
Format: Others
Published: 2000
Online Access:http://spectrum.library.concordia.ca/1086/1/MQ47802.pdf
Tippa, Anthony <http://spectrum.library.concordia.ca/view/creators/Tippa=3AAnthony=3A=3A.html> (2000) A state space model for inflation. Masters thesis, Concordia University.
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spelling ndltd-LACETR-oai-collectionscanada.gc.ca-QMG.10862013-10-22T03:41:31Z A state space model for inflation Tippa, Anthony Evidence has shown that the constant parameter assumption in Wilkie's Inflation model may be too restrictive. In this work we investigate the model proposed by Arsad (1999), where the mean level of inflation is assume to follow an AR(1) process. We compare the result obtained when prior knowledge of the initial parameter state is assumed known thus Bayesian analysis is applied and that obtained using classical approach. 2000 Thesis NonPeerReviewed application/pdf http://spectrum.library.concordia.ca/1086/1/MQ47802.pdf Tippa, Anthony <http://spectrum.library.concordia.ca/view/creators/Tippa=3AAnthony=3A=3A.html> (2000) A state space model for inflation. Masters thesis, Concordia University. http://spectrum.library.concordia.ca/1086/
collection NDLTD
format Others
sources NDLTD
description Evidence has shown that the constant parameter assumption in Wilkie's Inflation model may be too restrictive. In this work we investigate the model proposed by Arsad (1999), where the mean level of inflation is assume to follow an AR(1) process. We compare the result obtained when prior knowledge of the initial parameter state is assumed known thus Bayesian analysis is applied and that obtained using classical approach.
author Tippa, Anthony
spellingShingle Tippa, Anthony
A state space model for inflation
author_facet Tippa, Anthony
author_sort Tippa, Anthony
title A state space model for inflation
title_short A state space model for inflation
title_full A state space model for inflation
title_fullStr A state space model for inflation
title_full_unstemmed A state space model for inflation
title_sort state space model for inflation
publishDate 2000
url http://spectrum.library.concordia.ca/1086/1/MQ47802.pdf
Tippa, Anthony <http://spectrum.library.concordia.ca/view/creators/Tippa=3AAnthony=3A=3A.html> (2000) A state space model for inflation. Masters thesis, Concordia University.
work_keys_str_mv AT tippaanthony astatespacemodelforinflation
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