Document Type
Discussion Paper
Publication Date
6-1-1999
CFDP Number
1219
CFDP Pages
26
Abstract
Recent work by the author on methods of spatial density analysis for time series data with stochastic trends is reviewed and extended. The methods are illustrated in some empirical applications and simulations. The empirical applications include macroeconomic data on inflation, financial data on exchange rates and political opinion poll data. It is shown how the methods can be used to measure empirical hazard rates for inflation and deflation. Empirical estimates based on historical US data over the last 60 years indicate that the predominant inflation risks are at low levels (2–6%) and low two-digit levels (10–12%), and that there is also a significant risk of deflation around the –1% level.
Recommended Citation
Phillips, Peter C.B., "Descriptive Econometrics for Nonstationary Time Series with Empirical Illustrations" (1999). Cowles Foundation Discussion Papers. 1467.
https://elischolar.library.yale.edu/cowles-discussion-paper-series/1467