Examining the ability of core inflation to capture the overall trend of total inflation

References

• Atkeson , CG , Moore , AW and Schaal , S . 1997 . Locally weighted learning . Artificial Intelligence Review , 11 : 11 – 73 .
   Web of Science ®Google Scholar
• Bai , J . 1997 . Estimating multiple breaks one at a time . Economic Theory , 13 : 315 – 52 .
   Web of Science ®Google Scholar
• Cai , Z . 2007 . Trending time-varying coefficient time series models with serially correlated errors . Journal of Econometrics , 136 : 163 – 88 .
   Web of Science ®Google Scholar
• Cai , Z and Chen , R . 2006 . “ Flexible seasonal time series models ” . In Econometric Analysis of Financial and Economic Time Series Part B, Vol. 20 (Advances in Econometrics) , Edited by: Terrell , D , Fomby , T and Hill , RC . 63 – 88 . Orlando : Elsevier .
   Google Scholar
• Cai , Z , Fan , J and Yao , Q . 2000 . Functional-coefficient regression models for nonlinear time series . Journal of the American Statistical Association , 95 : 941 – 56 .
   Web of Science ®Google Scholar
• Cai, Z., Kuan, C. and Sun, L. (2008) Nonparametric pricing kernel: estimation and test, Working Paper, Department of Mathematrics and Statistics, University of North Carolina at Charlotte, Charlotte, NC.
   Google Scholar
• Chauvet , M and Tierney , HLR . 2009 . Real time changes in monetary policy Working Paper, Department of Economics, University of California Riverside, Riverside, CA
   Google Scholar
• Clark , TE . 2001 . Comparing measures of core inflation . Federal Reserve Bank of Kansas City Economic Review , 86 : 5 – 31 .
   Google Scholar
• Cleveland , WS and Devlin , SJ . 1988 . Locally weighted regression: an approach to regression analysis by local fitting . Journal of the American Statistical Association , 83 : 596 – 610 .
   Web of Science ®Google Scholar
• Cogley , T . 2002 . A simple adaptive measure of core inflation . Journal of Money, Credit, and Banking , 43 : 94 – 113 .
   Web of Science ®Google Scholar
• Creel , M . 2008 . Estimation of dynamic latent variable models using simulated nonparametric moments UFAE and IAE Working Papers 725.08, Unitat de Fonaments de l’Anàlisi Econòmica (UAB) and Institut d’Anàlisi Econòmica (CSIC)
   Google Scholar
• Croushore , D . 2007 . Revisions to PCE inflation measures: implications for monetary policy Working Paper, Federal Reserve Bank of Philadelphia
   Google Scholar
• Croushore , D and Stark , T . 2001 . A real-time data set for macroeconomists . Journal of Econometrics , 105 : 111 – 30 .
   Web of Science ®Google Scholar
• Elliott , G . 2002 . Comments on ‘forecasting with a real-time data set for macroeconomists’ . Journal of Macroeconomics , 24 : 533 – 9 .
   Web of Science ®Google Scholar
• Fan , J and Gijbels , I . 1995 . Data-driven selection in polynomial fitting: variable bandwidth and spatial adaptation . Journal of the Royal Statistical Society: Series B , 57 : 371 – 94 .
   Google Scholar
• Fan , J and Gijbels , I . 1996 . Local polynomial modeling and its applications, Monographs on Statistics and Applied Probability , Vol. 66 , London : Chapman and Hall .
   Google Scholar
• Fan , J and Yao , Q . 1998 . Efficient estimation of conditional variance functions in stochastic regressions . Biometrika , 85 : 645 – 60 .
   Web of Science ®Google Scholar
• Fan , J , Zhang , C and Zhang , J . 2001 . Generalized likelihood ratio statistics and Wilks phenomenon . The Annals of Statistics , 29 : 153 – 93 .
   Web of Science ®Google Scholar
• Fujiwara , I and Koga , M . 2004 . A statistical forecasting method for inflation forecasting: hitting every vector autoregression and forecasting under model uncertainty . Monetary and Economic Studies, Institute for Monetary and Economic Studies, Bank of Japan , 22 : 123 – 42 .
   Google Scholar
• Gagnon , JE . 2008 . Inflation regimes and inflation expectations . Federal Reserve Bank of St. Louis Review , 90 : 229 – 44 .
   Web of Science ®Google Scholar
• Hansen, B. E. (2001) GAUSS program for testing for structural change. Available at http://www.ssc.wisc.edu/~bhansen/progs/jep_01.htm. (accessed 5 December 2008).
   Google Scholar
• Härdle , W . 1994 . Applied Nonparametric Regression , Cambridge : Cambridge University Press .
   Google Scholar
• Härdle , W and Linton , O . 1999 . “ Applied nonparametric methods ” . In Handbook of Econometrics, Vol. 4 , Edited by: Engle , RF and McFadden , DL . 2297 – 341 . Amsterdam : North-Holland .
   Google Scholar
• Härdle , W and Mammen , E . 1993 . Comparing nonparametric versus parametric regression fits . The Annals of Statistics , 21 : 1926 – 47 .
   Web of Science ®Google Scholar
• Härdle , W and Tsybakov , A . 1997 . Local polynomial estimator of the volatility function in nonparametric autoregression . Journal of Econometrics , 81 : 223 – 42 .
   Web of Science ®Google Scholar
• Hayfield , T and Racine , J . 2008 . Nonparametric econometrics: the NP package . Journal of Statistical Software , 27 : 1 – 32 .
   Web of Science ®Google Scholar
• Höppner , F , Melzer , C and Neumann , T . 2008 . Changing effects of monetary policy in the US – evidence from a time-varying coefficient VAR . Applied Economics , 40 : 2353 – 60 .
   Web of Science ®Google Scholar
• Johnson , M . 1999 . Core inflation: a measure of inflation for policy purposes in Proceedings from Measures of Underlying Inflation and their Role in Conduct of Monetary Policy – Workshop of Central Model Builders at Bank for International Settlements, February
   Google Scholar
• Lafléche , T and Armour , J . 2006 . Evaluating measures of core inflation . Bank of Canada Review , Summer : 19 – 29 .
   Google Scholar
• Li , Q and Racine , J . 2007 . Nonparametrics Econometrics: Theory and Practice , Princeton : Princeton University Press .
   Google Scholar
• Marron , JS . 1988 . Automatic smoothing parameter selection: a survey . Empirical Economics , 13 : 187 – 208 .
   Google Scholar
• Newey , WK and West , KD . 1987 . A simple, positive, definite, heterosedasticity and autocorrelation consistent covariance matrix . Econometrica , 55 : 765 – 75 .
   Web of Science ®Google Scholar
• Paez-Farrell , J . 2009 . Monetary policy rules in theory and in practice: evidence from the UK and the US . Applied Economics , 41 : 2037 – 46 .
   Web of Science ®Google Scholar
• Pagan , A and Ullah , A . 1999 . Nonparametric Econometrics , Cambridge : Cambridge University Press .
   Google Scholar
• Rapach , D . 2003 . International evidence on the long-run impact of inflation . Journal of Money, Credit and Banking , 35 : 23 – 45 .
   Web of Science ®Google Scholar
• Rich , R and Steindel , C . 2005 . A review of core inflation and an evaluation of its measures Federal Reserve Bank of New York Staff Report No. 236
   Google Scholar
• Robinson , PM . 1998 . Inference without-smoothing in the presence of autocorrelation . Econometrica , 66 : 1163 – 82 .
   Web of Science ®Google Scholar
• Ruppert , D and Wand , MP . 1994 . Multivariate locally weighted least squares regression . The Annals of Statistics , 22 : 1346 – 70 .
   Web of Science ®Google Scholar
• Silver , M . 1997 . Core inflation measure and statistical issues in choosing among them International Monetary Fund Working Paper No. WP/06/97
   Google Scholar
• Vaihekoski, M. (2004), ‘nwest’, GAUSS procedure for the Newey–West heteroscedasticity and autocorrelation consistent (HAC) covariance matrix. Available at http://www2.lut.fi/~vaihekos/mv_econ.html#e3 (accessed 8 July 2008).
   Google Scholar
• Wand , MP and Jones , MC . 1995 . Kernel Smoothing , London : Chapman & Hall .
   Google Scholar
• Wasserman , L . 2006 . All of Nonparametric Statistics , New York : Springer .
   Google Scholar