Analyzing inflation with semi-structural time series models
Research Handbook of Inflation, Edward Elgar, forthcoming, 2024.
Lucrezia Reichlin, Thomas Hasenzagl, Filippo Pellegrino, Giovanni Ricco
Abstract:
The chapter discusses semi-structural time series models for the analysis, forecast and now-cast of inflation. We define a semi-structural time series model as a
multivariate structural time series model in the tradition of Harvey (1985) and Harvey (1990), where minimal economic restrictions are used to identify common and
idiosyncratic trend and cyclical components of the observable data. We discuss the
potential of this approach for inflation conjunctural analysis, forecasting and nowcasting in comparison with more widely used models in empirical macroeconomics
such as factor models and VARs.
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