Advanced Search
MyIDEAS: Login to save this article or follow this journal

Testing and forecasting the degree of integration in the US inflation rate

Contents:

Author Info

  • Luis A. Gil-Alana

    (University of Navarre, Spain)

Abstract

In this article we model the log of the US inflation rate by means of fractionally integrated processes. We use the tests of Robinson (1994) for testing this type of hypothesis, which include, as particular cases, the I(0) and I(1) specifications, and which also, unusually, have standard null and local limit distributions. A model selection criterion is established to determine which may be the best model specification of the series, and the forecasting properties of the selected models are also examined. The results vary substantially depending on how we specify the disturbances. Thus, if they are white noise, the series is I(d) with d fluctuating around 0.25; however, imposing autoregressive disturbances, the log of the US inflation rate seems to be anti-persistent, with an order of integration smaller than zero. Looking at the forecasting properties, those models based on autocorrelated disturbances (with d < 0) predict better over a short horizon, while those based on white noise disturbances (with d > 0) seem to predict better over longer periods of time. Copyright © 2005 John Wiley & Sons, Ltd.

Download Info

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
File URL: http://hdl.handle.net/10.1002/for.951
File Function: Link to full text; subscription required
Download Restriction: no

Bibliographic Info

Article provided by John Wiley & Sons, Ltd. in its journal Journal of Forecasting.

Volume (Year): 24 (2005)
Issue (Month): 3 ()
Pages: 173-187

as in new window
Handle: RePEc:jof:jforec:v:24:y:2005:i:3:p:173-187

Contact details of provider:
Web page: http://www3.interscience.wiley.com/cgi-bin/jhome/2966

Related research

Keywords:

References

No references listed on IDEAS
You can help add them by filling out this form.

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as in new window

Cited by:
  1. Guglielmo Maria Caporale & Luis A. Gil-Alana, 2009. "Long Memory in US Real Output per Capita," Discussion Papers of DIW Berlin 891, DIW Berlin, German Institute for Economic Research.
  2. Lovcha, Yuliya & Pérez Laborda, Àlex, 2013. "A fractionally integrated approach to monetary policy and inflation dynamics," Working Papers 2072/211795, Universitat Rovira i Virgili, Department of Economics.
  3. Cleomar Gomes da Silva & Maria Carolina da Silva Leme, 2008. "Inflation and Interest Rate: Which one is more persistent in Brazil?," Anais do XXXVI Encontro Nacional de Economia [Proceedings of the 36th Brazilian Economics Meeting] 200807181224190, ANPEC - Associação Nacional dos Centros de Pósgraduação em Economia [Brazilian Association of Graduate Programs in Economics].

Lists

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

Statistics

Access and download statistics

Corrections

When requesting a correction, please mention this item's handle: RePEc:jof:jforec:v:24:y:2005:i:3:p:173-187. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Wiley-Blackwell Digital Licensing) or (Christopher F. Baum).

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.