matlab

Code for the model used in the paper "Does natural rate variation matter? Evidence from New Zealand", Reserve Bank of New Zealand Discussion Paper DP2008/17. This model estimates unobservable trends using a state-space model and the Kalman filter. It uses the IRIS toolbox (included) to estimate and filter the model.

Code for the model described the paper "What Drives Core Inflation? A Dynamic Factor Analysis of Tradable and Nontradable Prices". RBNZ Working Paper DP2010/13. This code estimates a Dynamic Factor Model of core inflation where the factors within the model are classified as either tradable or non-tradable factors through the use of sign restrictions. The model is estimated using Bayesian techniques.