Fractional integration of inflation rates: a note

Paolo Zagaglia

Applied Economics Letters, 2009, vol. 16, issue 11, 1103-1105

Abstract: This note studies the persistence of CPI inflation for 12 OECD countries. The fraction order of integration is estimated through the wavelet-OLS estimator of Jensen (1999). The results show that CPI inflation is characterized by mean reversion in the long run with finite variance.

Date: 2009
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DOI: 10.1080/13504850701335384

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