Unit and fractional roots in the presence of abrupt changes with an application to the Brazilian inflation rate

Luis Gil-Alana

No 2001,67, SFB 373 Discussion Papers from Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes

Abstract: We analyse in this article the monthly structure of the Brazilian inflation rate by means of fractionally integrated techniques. This series is characterized by strong government interventions to bring inflation to a low level. We use a testing procedure due to Robinson (1994) which allow us to model the underlying dynamic of the series in terms of I(d) statistical models, while the government interventions are specified in terms of dummy variables. The results show that the series can be described in terms of an I(0.75) process with some of the interventions having little impact on the series.

Keywords: Long memory; Fractional integration (search for similar items in EconPapers)
JEL-codes: C22 (search for similar items in EconPapers)
Date: 2001
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Citations: View citations in EconPapers (1)

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Journal Article: Unit and fractional roots in the presence of abrupt changes with an application to the brazilian inflation rate (2005)
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Persistent link: https://EconPapers.repec.org/RePEc:zbw:sfb373:200167

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