Stochastic Long Memory in Traded Goods Prices

John Barkoulas, Christopher Baum and Gurkan Oguz
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Gurkan Oguz: Tufts University

No 349., Boston College Working Papers in Economics from Boston College Department of Economics

Abstract: Using spectral regression and exact maximum likelihood methods, we test for long memory dynamics in the traded goods prices for the G7 countries, as measured in their import and export price indices. Significant and robust evidence of fractional dynamics with long memory features is found in both import and export price inflation rates.

Pages: 14 pages
Date: 1997-01-01
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Citations: View citations in EconPapers (1)

Published, Applied Economics Letters, 1998, 5:135-138.

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Related works:
Journal Article: Stochastic long memory in traded goods prices (1998)
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