| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w6183 |
| 来源ID | Working Paper 6183 |
| Efficient Inflation Estimation | |
| Michael F. Bryan; Stephen G. Cecchetti; Rodney L. Wiggins II | |
| 发表日期 | 1997-09-01 |
| 出版年 | 1997 |
| 语种 | 英语 |
| 摘要 | This paper investigates the use of trimmed means as high-frequency estimators of" inflation. The known characteristics of price change distributions, specifically the observation" that they generally exhibit high levels of kurtosis, imply that simple averages of price data are" unlikely to produce efficient estimates of inflation. Trimmed means produce superior estimates" of core inflation,' which we define as a long-run centered moving average of CPI and PPI" inflation. We find that trimming 9% from each tail of the CPI price-change distribution from the tails of the PPI price-change distribution, yields an efficient estimator of core inflation" for these two series, although lesser trims also produce substantial efficiency gains. Historically the optimal trimmed estimators are found to be nearly 23% more efficient (in terms of root-mean-square error) than the standard mean CPI Moreover, the efficient estimators are robust to sample period and to the definition of the" presumed underlying long-run trend in inflation. |
| 主题 | Macroeconomics ; Business Cycles |
| URL | https://www.nber.org/papers/w6183 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/563691 |
| 推荐引用方式 GB/T 7714 | Michael F. Bryan,Stephen G. Cecchetti,Rodney L. Wiggins II. Efficient Inflation Estimation. 1997. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w6183.pdf（595KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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