Measure inflation persistence

Estimates the degree of persistence in an inflation series using one of three methods: sum of AR coefficients, half-life, or largest autoregressive root.

Usage

ik_persistence(
  x,
  method = c("sum_ar", "half_life", "largest_root"),
  ar_order = NULL,
  max_order = 12L,
  ic = c("bic", "aic")
)

Arguments

x

Numeric vector. An inflation time series.

method

Character. One of "sum_ar", "half_life", or "largest_root".

ar_order

Integer or NULL. The AR order to fit. If NULL, order is selected automatically using the information criterion specified by ic.

max_order

Integer. Maximum AR order to consider when selecting automatically. Default 12.

ic

Character. Information criterion for order selection: "bic" or "aic". Default "bic".

Value

An S3 object of class "ik_persistence" with elements:

value

Numeric. The persistence measure.

method

Character. The method used.

ar_order

Integer. The AR order fitted.

ar_coefficients

Numeric vector. The estimated AR coefficients.

interpretation

Character. A plain-language interpretation ("High persistence", "Moderate persistence", or "Low persistence").

References

Andrews, D. W. K. and Chen, H.-Y. (1994). "Approximately Median-Unbiased Estimation of Autoregressive Models." Journal of Business and Economic Statistics, 12(2), 187-204.

Marques, C. R. (2004). "Inflation Persistence: Facts or Artefacts?" ECB Working Paper No. 371.

Examples

data <- ik_sample_data("headline")
p <- ik_persistence(data$inflation, method = "sum_ar")
print(p)
#> 
#> ── Inflation Persistence ───────────────────────────────────────────────────────
#> • Method: Sum of AR Coefficients
#> • AR order: 1
#> • Persistence value: 0.647
#> • Moderate persistence (sum of AR coefficients 0.5 to 0.8)

p_hl <- ik_persistence(data$inflation, method = "half_life")
print(p_hl)
#> 
#> ── Inflation Persistence ───────────────────────────────────────────────────────
#> • Method: Half-Life
#> • AR order: 1
#> • Persistence value: 1.592
#> • Low persistence (half-life < 4 periods)