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:
Full metadata record
Files in This Item:
Filename Description SizeFormat
2009007608OK.pdf2.59 MBAdobe PDF
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: