Nonlinearity In Inflation, A Case of Pakistan

Javed Iqbal, Muhammad Rehman and Hafeez Ur-Rehman

MPRA Paper from University Library of Munich, Germany

Abstract: Recent research work has shown that inflation rate is asymmetric and it is also well known that asymmetry is a non-linear phenomenon. In order to better understand this non-linearity in inflation of Pakistan, we investigate the possible presence of Smooth Transition Autoregressive (STAR) non-linearity in inflation series. The study finds that month on month inflation series for Pakistan possesses both logistic and exponential STAR type non-linearity. Exponential Smooth transition function was proven to be more relevant on the basis of Dijk et al. (2000). Therefore, we develop ESTAR model in this paper which outperforms its linear rivals in forecasting.

Keywords: Inflation; Pakistan; ESTAR model (search for similar items in EconPapers)
JEL-codes: C13 C87 E31 (search for similar items in EconPapers)
Date: 2011-03-16
References: View references in EconPapers View complete reference list from CitEc
Citations:

Published in Pakistan Economic and Social Review 1.49(2011): pp. 01-12

Downloads: (external link)
https://mpra.ub.uni-muenchen.de/35858/1/MPRA_paper_35858.pdf original version (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:35858

Access Statistics for this paper

More papers in MPRA Paper from University Library of Munich, Germany Ludwigstraße 33, D-80539 Munich, Germany. Contact information at EDIRC.
Bibliographic data for series maintained by Joachim Winter ().