Comments on "Phillips Curve Inflation Forecasts" by James H. Stock and Mark W. Watson

MIT Press
Publication Type:
Understanding Inflation and the Implications for Monetary Policy: A Phillips Curve Retrospective, 2009, 1st, pp. 187 - 193
Issue Date:
Filename Description Size
Thumbnail2009007608OK.pdf2.59 MB
Adobe PDF
Full metadata record
Stock and Watson provide a thorough (one might say exhaustive) review of the forecasting performance of many inflation models. These include models with some economics in them and others that are purely statistical. Overall, the best of the statistical models seems to be their unobserved components-stochastic volatility (UC-SV) model. This is a two-component model of the form
Please use this identifier to cite or link to this item: