Adaptive Least Squares
Adaptive Least Squares
J. Huston McCulloch
Note: This paper supplants the author's earlier "The Kalman Foundations of Adaptive Least Squares," Aug. 2005. The algorithm is the same, but now it is motivated with the assumption of constant NSR, and includes a rigorous global significance test.
Matlab Programs
- File ALS.m
File contains Matlab function ALS, which performs an ALS regression, computing the MLE value of the signal/noise variance ratio rho. File also contains function alsrho, which performs an ALS regression for a given value of rho. See initial comment lines for definitions of inputs and outputs. To view without Matlab, download and then open with e.g. TextEdit.
- File InflationALS_PCE_11_23.m
File contains driver program producing PCE forecast results for 11/23 as described in paper, using data downloaded from FRED, below. Program is set to perform AR(0) - AR(4), and give global test results.
- File PCEPI-30.xls
XLS file with PCE data for 1/1959 - 11/2023, as downloaded from FRED shortly after 11/23 release, and as used by program InflationALS_PCE_11_23.m above.
- For questions or comments, contact Hu McCulloch at mcculloch.2@osu.edu.
Entrenched Inflation Reports (as available)
2026:
Dec. 2026
Nov. 2026
Oct. 2026
Sept. 2026
Aug. 2026
July 2026
June 2026
May 2026
April 2026
Mar. 2026
Feb. 2026
Jan. 2026
2025:
Dec. 2025, revised with belated PCE data.
Dec. 2025, Plan B report with CPI surrogate for PCE
Nov. 2025, Plan B report with CPI surrogate for PCE
Oct. 2025 No report due to lack of new data.
Sept. 2025
Aug. 2025
July 2025
June 2025
May 2025
April 2025
Mar. 2025
Feb. 2025
Jan. 2025
2024:
Dec. 2024
Nov. 2024
Oct. 2024
Sept. 2024
Aug. 2024
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