Estimating memory parameter in the US inflation rate
β Scribed by Jin Lee
- Book ID
- 116421030
- Publisher
- Elsevier Science
- Year
- 2005
- Tongue
- English
- Weight
- 83 KB
- Volume
- 87
- Category
- Article
- ISSN
- 0165-1765
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## Abstract We consider one parametric and five semiparametric approaches to estimate __D__ in SARFIMA (0, __D__, 0)~__s__~ processes, that is, when the process is a fractionally integrated ARMA model with seasonality __s__. We also consider __h__βstepβahead forecasting for these processes. We pres
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