Identifying Changes in Mean, Seasonality, Persistence and Volatility for G7 and Euro Area Inflation*
提出一种迭代分解方法，同时检测并处理均值、季节性、动态和条件波动中的多个结构突变，并考虑异常值。蒙特卡洛模拟显示方法有效，应用于G7和欧元区月度CPI通胀，发现各国均存在均值和季节性突变，持久性也有变化，且多数国家在1980年代初波动性下降，部分国家1999年后上升。
Abstract We propose an iterative decomposition that tests and accounts for multiple structural breaks in the mean, seasonality, dynamics and conditional volatility, while also accounting for outliers. Considering each component separately within each iteration leads to greater flexibility compared with joint procedures. Monte Carlo analysis shows the procedure performs well. Applied to monthly CPI inflation in G7 countries and the Euro area, we uncover mean and seasonality breaks for all countries and, allowing for these, changes in persistence are generally also indicated. Further, volatility reductions are widespread in the early to mid 1980s, with some countries exhibiting increases from 1999 onwards.