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Inflation forecasting in Angola: a fractional approach

Carlos Barros and Luis Gil-Alana ()

No 103, CEsA Working Papers from CEsA - Centre for African and Development Studies

Abstract: This paper forecasts inflation in Angola with an ARFIMA (AutoRegressive Fractionally Integrated Moving Average) model. It is found that inflation in Angola is a highly persistent variable with an order of integration constrained between 0 and 1. Moreover, a structural break is found in August, 1996. Using the second sub-sample for forecasting purposes, the results reveal that inflation will remain low, assuming that prudent macroeconomic policies are maintained.

Keywords: Angola; inflation, long memory (search for similar items in EconPapers)
JEL-codes: C22 (search for similar items in EconPapers)
Date: 2012-02
New Economics Papers: this item is included in nep-cba, nep-for and nep-mon
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https://cesa.rc.iseg.ulisboa.pt/RePEc/cav/cavwpp/wp103.pdf

Related works:
Journal Article: Inflation Forecasting in Angola: A Fractional Approach (2013)
Journal Article: Inflation Forecasting in Angola: A Fractional Approach (2013) Downloads
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