18-027/III - Unobserved Components with Stochastic Volatility in U.S. Inflation: Estimation and Signal Extraction

• Authors
  Mengheng Li, VU Amsterdam; Siem Jan (S.J.) Koopman, VU Amsterdam; Tinbergen Institute, The Netherlands
• Publication date
  March 21, 2018

• Keywords
  Importance Sampling, Kalman Filter, Monte Carlo Simulation, Stochastic Volatility, Unobserved Components Time Series Model, Inflation
• JEL
  C32, C53, E31, E37