Code to estimate Trend Inflation

code for trend inflation model of Mertens (2016, REStat, http://dx.doi.org/10.1162/REST_a_00549) and Garnier, Mertens and Nelson (2015, IJCB, http://www.ijcb.org/journal/ijcb15q4a2.htm).

The model implemented here is the variant with SV in all inflation gaps.

The master branch works with US as well as EuroAre data. US data provided by FRED (for realized and trimmed inflation; use of surveys is pending). Euro area data as obtained from the ECB's SDW, including Euroarea SPF expectations.

Complete replication files for the paper are here: http://dx.doi.org/10.7910/DVN/MUF2HC

NEW: Matlab implementation

For an implementation in Matlab, please see https://github.com/elmarmertens/ABCprecisionsampler