Unobserved-Component Time Series Models With Markov-Switching Heteroscedasticity: Changes in Regime and the Link Between Inflation Rates and Inflation Uncertainty

REFERENCES

• Antoncic , M. 1986 . “High and Volatile Real Interest Rates: Where Does the Fed Fit In?” . Journal of Money, Credit, and Banking , 18 : 18 – 27 .
   Web of Science ®Google Scholar
• Balke , N. S. and Fomby , T. B. 1991 . “Shifting Trends, Segmented Trends, and Infrequent Permanent Shocks,” . Journal of Monetary Economics , 28 : 61 – 85 .
   Web of Science ®Google Scholar
• Ball , L. and Cecchetti , S. G. 1990 . “Inflation and Uncertainty at Short and Long Horizons,” . Brookings Papers on Economic Activity , I : 215 – 254 .
   Google Scholar
• Barro , R. J. 1989 . “Interest Rate Targeting.” . Journal of Monetary Economics , 23 : 3 – 30 .
   Web of Science ®Google Scholar
• Barsky , R. B. 1987 . “The Fisher Hypothesis and Forecastability and Persistence of Inflation,” . Journal of Monetary Economics , 19 : 3 – 24 .
   Web of Science ®Google Scholar
• Burmeister , E. and Wall , K. D. 1982 . “Kalman Filtering Estimation of Unobserved Rational Expectations With an Application to German Hyperinflation,” . Journal of Econometrics , 20 : 2550 – 284 .
   Google Scholar
• Burmeister , E. , Wall , K. D. and Hamilton , J. 1986 . “Estimation of Unobserved Expected Monthly Inflation Using Kalman Filtering,” . Journal of Business & Economic Statistics , 4 : 147 – 160 .
   Web of Science ®Google Scholar
• Chou , R. , Engle , R. F. and Kane , A. 1992 . “On the Measurement of Risk Aversion with Time-Varying Volatility and Unobservable Component of Wealth,” . Journal of Econometrics , 52 : 201 – 224 .
   Web of Science ®Google Scholar
• Cosimano , T. F. and Jansen , D. W. 1988 . “Estimates of the Variance of U.S. Inflation Based Upon the ARCH Model: Comment,” . Journal of Money, Credit, and Banking , 20 : 409 – 421 .
   Web of Science ®Google Scholar
• Engle , R. 1983 . “Estimates of the Variance of U.S. Inflation Based Upon the ARCH Model,” . Journal of Money, Credit, and Banking , 5 : 286 – 1 .
   Google Scholar
• Engle , R. F. and Watson , M. 1981 . “A One-Factor Multivariate Time Series Model of Metropolitan Wage Rates,” . Journal of the American Statistical Association , : 774 – 781 .
   Google Scholar
• Engle , R. F. and Watson , M. 1987 . “Kalman Filter: Applications to Forecasting and Rational-Expectations Models,” . In Advances in Econometrics (Fifth World Congress, vol. 1) , Edited by: Bewley , T. F. 245 – 281 . Cambridge , , U.K. : Cambridge University Press .
   Google Scholar
• Evans , M. 1991 . “Discovering the Link Between Inflation Rates and Inflation Uncertainty,” . Journal of Money, Credit, and Banking , 23 : 169 – 184 .
   Web of Science ®Google Scholar
• Evans , M. and Wachtel , P. 1989 . “A Modern Look at Asset Pricing and Short-term Interest Rates,” , New York University, Stern School of Business . unpublished manuscript
   Google Scholar
• Friedman , M. 1977 . “Nobel Lecture: Inflation and Unemployment,” . Journal of Political Economy , 85 : 451 – 472 .
   Web of Science ®Google Scholar
• Garbade , K. D. and Wachtel , P. 1978 . “Time Variation in the Relationship between Inflation and Interest Rates,” . Journal of Monetary Economics , 4 : 775 – 765 .
   Google Scholar
• Gordon , K. and Smith , A. F. M. 1988 . “Modeling and Monitoring Discontinuous Changes in Time Series,” . In Bayesian Analysis of Time Series and Dynamic Linear Models , Edited by: Spall , J. C. 359 – 392 . New York : Marcel Dekker .
   Google Scholar
• Hamilton , J. 1988 . “Rational-Expectations Econometric Analysis of Changes in Regime: An Investigation of the Term Structure of Interest Rates,” . Journal of Economic Dynamics and Control , 12 : 385 – 423 .
   Web of Science ®Google Scholar
• Hamilton , J. 1989 . “A New Approach to the Economic Analysis of Non-stationary Time Series and the Business Cycle,” . Econometrica , 57 : 357 – 384 .
   Web of Science ®Google Scholar
• Hamilton , J. “State-Space Models,” . In Handbook of Econometrics , Edited by: Engle , R. and McFadden , D. Vol. 4 , New York : Elsevier Science . (in press)
   Google Scholar
• Harrison , P. J. and Stevens , C. F. 1976 . “Bayesian Forecasting,” . Journal of the Royal Statistical Society , 38 : 205 – 247 . Ser. B
   Google Scholar
• Harvey , A. C. 1985 . “Applications of the Kalman Filter in Econometrics,” . In Advances in Econometrics (Fifth World Congress of the Econometric Society, Vol. 1) , Edited by: Bewley , T. 285 – 313 . Cambridge , , U.K. : Cambridge University Press .
   Google Scholar
• Harvey , A. C. 1991 . Forecasting Structural Time Series Models and the Kalman Filter , Cambridge , , U.K. : Cambridge University Press .
   Google Scholar
• Harvey , A. C. , Ruiz , E. and Sentana , E. 1992 . “Unobserved Component Time Series Models With ARCH Disturbances,” . Journal of Econometrics , 52 : 129 – 157 .
   Web of Science ®Google Scholar
• Kim , C.-J. “Dynamic Linear Models with Markov-Switching,” . Journal of Econometrics , 53 (in press)
   PubMedGoogle Scholar
• Lamoureux , C. G. and Lastrapes , W. 1990 . “Persistence in Variance, Structural Change, and the GARCH Model,” . Journal of Business & Economic Statistics , 8 : 225 – 234 .
   Web of Science ®Google Scholar
• Lastrapes , W. D. 1989 . “Exchange Rate Volatility and U.S. Monetary Policy: An ARCH Application,” . Journal of Money, Credit, and Banking , 21 : 66 – 77 .
   Web of Science ®Google Scholar
• Okun , A. M. 1971 . “The Mirage of Steady Inflation,” . Brookings Papers on Economic Activity , 2 : 486 – 498 .
   Google Scholar
• Raymond , J. and Rich , R. W. 1992 . “Changes in Regime and the Behavior of Inflation,” , Vanderbilt University, Dept. of Economics . working paper
   Google Scholar
• Wachtel , P. A. 1977 . “Survey Measures of Expected Inflation and their Potential Usefulness,” . In Analysis of Inflation 1965–1974 , Edited by: Popkin , J. Cambridge , MA : Ballinger .
   Google Scholar
• Watson , M. W. and Engle , R. F. 1983 . “Alternative Algorithms for the Estimation of Dynamic Factor, MIMIC and Varying Coefficient Regression Models,” . Journal of Econometrics , 23 : 385 – 400 .
   Web of Science ®Google Scholar