Is autocorrelation the best metric here? Persistence is often thought of as the bits most related to excess demand. It’s not clear that autocorrelation really gets at that?
To be clear it’s correlation rather than autocorrelation (except for CPI itself). You’re right that autocorrelation wouldn’t tell us much - a straight line would ‘predict’ itself perfectly, but it wouldn’t tell us anything about future CPI.
Is autocorrelation the best metric here? Persistence is often thought of as the bits most related to excess demand. It’s not clear that autocorrelation really gets at that?
To be clear it’s correlation rather than autocorrelation (except for CPI itself). You’re right that autocorrelation wouldn’t tell us much - a straight line would ‘predict’ itself perfectly, but it wouldn’t tell us anything about future CPI.