Multi-Factor Gegenbauer Processes and European Inflation Rates

Guglielmo Maria Caporale and Luis Gil-Alana

No 879, Discussion Papers of DIW Berlin from DIW Berlin, German Institute for Economic Research

Abstract: In this paper we specify a multi-factor long-memory process that enables us to estimate the fractional differencing parameters at each frequency separately, and adopt this framework to model quarterly prices in three European countries (France, Italy and the UK). The empirical results suggest that inflation in France and Italy is nonstationary. However, while for the former country this applies both to the zero and the seasonal frequencies, in the case of Italy the nonstationarity comes exclusively from the long-run or zero frequency. In the UK, inflation seems to be stationary with a component of long memory at both the zero and the semi-annual frequencies, especially at the former.

Keywords: Fractional Integration; Long Memory; Inflation (search for similar items in EconPapers)
JEL-codes: C22 O40 (search for similar items in EconPapers)
Pages: 24 p.
Date: 2009
New Economics Papers: this item is included in nep-cba, nep-ecm, nep-eec, nep-mac and nep-mon
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Citations: View citations in EconPapers (1)

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Related works:
Journal Article: Multi-Factor Gegenbauer Processes and European Inflation Rates (2011)
Working Paper: Multi-Factor Gegenbauer Processes and European Inflation Rates (2009)
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Persistent link: https://EconPapers.repec.org/RePEc:diw:diwwpp:dp879

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