Modelling Core Inflation for the UK Using a New Dynamic Factor Estimation Method and a Large Disaggregated Price Index Dataset

University of London, Economics Working Paper No. 471

21 Pages Posted: 17 May 2003

Abstract

Recent work in the macroeconometric literature considers the problem of summarising efficiently a large set of variables and using this summary for a variety of purposes including forecasting. This paper applies a new factor extraction method to the extraction of core inflation and forecasting of UK inflation in the recent past.

JEL Classification: C13, C32

Suggested Citation

Kapetanios, George, Modelling Core Inflation for the UK Using a New Dynamic Factor Estimation Method and a Large Disaggregated Price Index Dataset. University of London, Economics Working Paper No. 471, Available at SSRN: https://ssrn.com/abstract=358346 or http://dx.doi.org/10.2139/ssrn.358346

George Kapetanios (Contact Author)

King's College, London ( email )

30 Aldwych
London, WC2B 4BG
United Kingdom
+44 20 78484951 (Phone)

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