Optimal univariate inflation forecasting with symmetric stable shocks
具有对称稳定冲击的最优单变量通胀预测
Monthly inflation in the United States indicates non-normality in the form of either occasional big shocks or marked changes in the level of the series. We develop a univariate state space model with symmetric stable shocks for this series. The non-Gaussian model is estimated by the Sorenson-Alspach filtering algorithm. Even after removing conditional heteroscedasticity, normality is rejected in favour of a stable distribution with exponent 1�83. Our model can be used for…