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摘要翻译：
发达经济体的通货膨胀与劳动力变动率之间存在线性滞后关系，p(t)=A1dLF(t-t1)/LF(t-t1)+A2。在美国，A1=4.0,A2=-0.03075,T1=2年。在1965年至2002年的两年时间里，它提供了0.8%的均方根预测误差（在其他通胀预测模型中最好）。对这种关系进行了协整检验。根据级数中单位根的存在和它们的第一差中单位根的不存在，这两个变量进行一阶积分。采用了两种协整检验方法：基于残差单位根检验的Engle-Granger协整检验和基于VAR表示的Johansen协整秩检验。这两种方法都证明了变量之间的协整关系，并证明了前人研究中揭示的长期均衡关系是成立的。根据Granger因果关系检验，劳动力变动是一个弱外生变量--考虑时间超前和协整关系的自然结果。VAR和VECM表示在RMSFE中没有提供任何显著的改进。这个等式有许多应用：从纯理论上的宏观经济和人口变量之间强有力的基本关系，到实际的两年期精确的样本外通胀预测，以及基于劳动力预测的长期预测。这种关系的预测能力与劳动力估计的不确定性成反比。因此，未来的通货膨胀研究方案应该从显著提高劳动力估计的准确性开始。
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英文标题：
《Inflation as a function of labor force change rate: cointegration test
for the USA》
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作者：
Ivan O. Kitov, Oleg I. Kitov, Svetlana A. Dolinskaya
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最新提交年份：
2008
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分类信息：
一级分类：Quantitative Finance 数量金融学
二级分类：General Finance 一般财务
分类描述：Development of general quantitative methodologies with applications in finance
通用定量方法的发展及其在金融中的应用
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一级分类：Physics 物理学
二级分类：Physics and Society 物理学与社会
分类描述：Structure, dynamics and collective behavior of societies and groups (human or otherwise). Quantitative analysis of social networks and other complex networks. Physics and engineering of infrastructure and systems of broad societal impact (e.g., energy grids, transportation networks).
社会和团体（人类或其他）的结构、动态和集体行为。社会网络和其他复杂网络的定量分析。具有广泛社会影响的基础设施和系统（如能源网、运输网络）的物理和工程。
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英文摘要：
A linear and lagged relationship between inflation and labor force change rate, p(t)= A1dLF(t-t1)/LF(t-t1)+A2 was found for developed economies. For the USA, A1=4.0, A2=-0.03075, and t1=2 years. It provides a RMS forecasting error (RMFSE) of 0.8% at a two-year horizon for the period between 1965 and 2002 (the best among other inflation forecasting models). This relationship is tested for cointegration. Both variables are integrated of order one according to the presence of a unit root in the series and its absence in their first differences. Two methods of cointegration testing are applied: the Engle-Granger one based on the unit root test of the residuals including a variety of specification tests and the Johansen cointegration rank test based on the VAR representation. Both approaches demonstrate that the variables are cointegrated and the long-run equilibrium relation revealed in previous study holds. According to the Granger causality test, the labor force change is proved to be a weakly exogenous variable - a natural result considering the time lead and the existence of a cointegrating relation. VAR and VECM representations do not provide any significant improvement in RMSFE. There are numerous applications of the equation: from purely theoretical - a robust fundamental relation between macroeconomic and population variables, to a practical one - an accurate out-of-sample inflation forecasting at a two-year horizon and a long-term prediction based on labor force projections. The predictive power of the relationship is inversely proportional to the uncertainty of labor force estimates. Therefore, future inflation research programs should start from a significant improvement in the accuracy of labor force estimations.
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PDF链接：
https://arxiv.org/pdf/0811.0892
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