Stochastic long memory in traded goods prices

John Barkoulas, Christopher Baum and Gurkan Oguz

Applied Economics Letters, 1998, vol. 5, issue 3, 135-138

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.

Date: 1998
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Working Paper: Stochastic Long Memory in Traded Goods Prices (1997)
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Persistent link: https://EconPapers.repec.org/RePEc:taf:apeclt:v:5:y:1998:i:3:p:135-138

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DOI: 10.1080/758521368

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