Dual long memory of inflation and test of the relationship between inflation and inflation uncertainty
β Scribed by Jinquan Liu; Tingguo Zheng; Jianli Sui
- Book ID
- 107373870
- Publisher
- Higher Education Press and Springer
- Year
- 2008
- Tongue
- English
- Weight
- 298 KB
- Volume
- 3
- Category
- Article
- ISSN
- 1673-3444
No coin nor oath required. For personal study only.
π SIMILAR VOLUMES
## Abstract We study the effects of growth volatility and inflation volatility on average rates of output growth and inflation for postβwar US data. Our results suggest that increased growth uncertainty is associated with significantly lower average growth, while higher inflation uncertainty is sig
Models for long-memory time series are considered in which the autocovariance sequence is parameterized only at very long lags or the spectral density is parameterized only at very low frequencies. Various recently proposed methods for estimating the differencing parameters are reviewed and are appl
In this article we model the log of the US inflation rate by means of fractionally integrated processes. We use the tests of Robinson (1994) for testing this type of hypothesis, which include, as particular cases, the I(0) and I(1) specifications, and which also, unusually, have standard null and lo