Publication
Nov 2010
This article proposes a multivariate model of inflation with conditionally heteroskedastic common and country-specific components. The model is estimated in one-step via Quasi-Maximum Likelihood for the G7 countries for the period Q1-1960 to Q4-2009. It is found that various model specifications considered fit well the first and second order dynamics of inflation in the G7.
Download |
English (PDF, 40 pages, 1.0 MB) |
---|---|
Author | Leonardo Morales-Arias, Guilherme V Moura |
Series | Kiel Institute Working Papers |
Issue | 1666 |
Publisher | Kiel Institute for the World Economy |
Copyright | © 2010 Kiel Institute for the World Economy |