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Long Memory in Inflation Rates: International Evidence

Uwe Hassler and Juergen Wolters

Journal of Business & Economic Statistics, 1995, vol. 13, issue 1, 37-45

Abstract: The authors examine monthly inflation rates of five industrial countries. The application of tests against stationarity as well as tests against a unit root yield contradictory results. Thus, fractional integration allowing for long memory is a plausible model. The authors discuss and apply the periodogram regression in order to estimate the difference parameters. For all countries, the authors find estimates significantly different from one as well as from zero. This is evidence in favor of long memory. Specification tests and maximum likelihood estimates support the fitted models. Finally, the authors relate their empirical results to the construction of the data.

Date: 1995
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Handle: RePEc:bes:jnlbes:v:13:y:1995:i:1:p:37-45