Reconciling Jaimovich-Rebelo preferences, habit in consumption and labor supply / by Tom D. Holden, Paul Levine and Jonathan M. Swarbrick.: FB3-5/2018-26E-PDF
"We propose a functional principal components method that accounts for stratified random sample weighting and time dependence in the observations to understand the evolution of distributions of monthly micro-level consumer prices for the United Kingdom (UK). We apply the method to publicly available monthly data on individual-good prices collected in retail stores by the UK Office for National Statistics for the construction of the UK Consumer Price Index from March 1996 to September 2015. In addition, we conduct Monte Carlo simulations to demonstrate the effectiveness of our methodology. Our method allows us to visualize the dynamics of the price distribution and uncovers interesting patterns during the sample period. Further, we demonstrate the efficacy of our methodology with an out-of-sample forecasting algorithm that exploits the time dependence of distributions. Our out-of-sample forecast compares favorably with the random walk forecast"--Abstract, p. ii.
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| Department/Agency | Bank of Canada. |
|---|---|
| Title | Reconciling Jaimovich-Rebelo preferences, habit in consumption and labor supply / by Tom D. Holden, Paul Levine and Jonathan M. Swarbrick. |
| Series title | Bank of Canada staff working paper, 1701-9397 ; 2018-26 |
| Publication type | Series - View Master Record |
| Language | [English] |
| Format | Electronic |
| Electronic document | |
| Note(s) | "June 2018." Includes bibliographical references. Includes abstract in French. |
| Publishing information | [Ottawa] : Bank of Canada, 2018. |
| Author / Contributor | Holden, Tom D. Levine, Paul. Swarbrick, Jonathan M. |
| Description | ii, 33 p. : charts (some col.) |
| Catalogue number |
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| Subject terms | Consumerism Labour market Econometric models |
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