Long Memory in Inflation Rates: International Evidence
✍ Scribed by Uwe Hassler and Jürgen Wolters
- Book ID
- 120606977
- Publisher
- American Statistical Association
- Year
- 1995
- Tongue
- English
- Weight
- 383 KB
- Volume
- 13
- Category
- Article
- ISSN
- 0735-0015
- DOI
- 10.2307/1392519
No coin nor oath required. For personal study only.
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## Abstract The issues of non‐stationarity and long memory of real interest rates are examined here. Autoregressive models allowing short‐term mean reversion are compared with fractional integration models in terms of their ability to explain the behaviour of the data and to forecast out‐of‐sample.
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