Faculty of Economics and Business Administration Publications Database

Long Memory in Inflation Rates: International Evidence

Selected
Authors:
Wolters, Jürgen
Source:
Volume: 13
Number: 1
Pages: 37 - 45
Month: January
ISSN-Print: 0735-0015
Link External Source: Online Version
Year: 1995
Keywords: Inflation; Estimation theory; Regression analysis; Industrialization; Econometrics; Mathematical models; Developed countries; Administration of General Economic Programs
Abstract: We examine monthly inflation rates of five industrial countries. The application of tests against stationarity as well as tests against a unit root yield contradictory results. Thus fractional integration allowing for long memory is a plausible model. We discuss and apply the periodogram regression to estimate the difference parameters. For all countries we find estimates significantly different from 1 as well as from 0. This is evidence in favor of long memory. Specification tests and maximum likelihood estimates support the fitted models. Finally, we relate our empirical results to the construction of the data.
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