No. 471: Modelling Core Inflation for the UK Using a New Dynamic Factor Estimation Method and a Large Disaggregated Price Index Dataset

George Kapetanios Queen Mary, University of London

November 1, 2002

Download full paper

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.

J.E.L classification codes: C13, C32

Keywords: Factor models, Subspace methods, State space models