Estimating Trend Inflation Based on Unobserved Components Model: Is It Correlated with the Inflation Gap?
在Stock和Watson（2007）基础上，发现趋势通胀创新与通胀缺口存在负相关，并加入通胀缺口持久性的体制转换和通胀与不确定性关联，得出平滑的趋势通胀估计，且样本外预测优于对比模型。
Abstract Building on the work of Stock and Watson (2007), this paper empirically shows that a negative correlation between innovations to trend inflation and the inflation gap plays an important role in the dynamics of postwar U.S. inflation. Additional features that we incorporate in our model include regime‐switching inflation gap persistence and association between inflation and inflation uncertainty. The resulting estimate of trend inflation is smooth, and our model provides superior out‐of‐sample forecasts than Stock and Watson's (2007) unobserved components model with stochastic volatility or than Atkeson and Ohanian's (2001) random walk model does.