IDEAS home Printed from https://ideas.repec.org/a/wly/apsmbi/v21y2005i1p83-94.html
   My bibliography  Save this article

Modelling U.S. monthly inflation in terms of a jointly seasonal and non‐seasonal long memory process

Author

Listed:
  • L. A. Gil‐Alana

Abstract

This article examines monthly U.S. inflation rates by means of fractionally integrated time series techniques. We use a procedure of Robinson (J Am Statist Assoc 1994; 89:1420) that permits us to simultaneously test the degrees of integration at both the zero and the seasonal frequencies. The results show that long memory takes place at both frequencies, the orders of integration being in both cases higher than 0 but smaller than 0.5, implying stationarity but long memory behaviour. In addition, the root at the long run or zero frequency seems to play a much more important role than the seasonal one, with shocks affecting the latter component decaying faster than in the former case. Copyright © 2005 John Wiley & Sons, Ltd.

Suggested Citation

  • L. A. Gil‐Alana, 2005. "Modelling U.S. monthly inflation in terms of a jointly seasonal and non‐seasonal long memory process," Applied Stochastic Models in Business and Industry, John Wiley & Sons, vol. 21(1), pages 83-94, January.
    • Handle: RePEc:wly:apsmbi:v:21:y:2005:i:1:p:83-94
    DOI: 10.1002/asmb.552
    as

    Download full text from publisher

    File URL: https://doi.org/10.1002/asmb.552
    Download Restriction: no
    File URL: https://libkey.io/10.1002/asmb.552?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:wly:apsmbi:v:21:y:2005:i:1:p:83-94. See general information about how to correct material in RePEc.

    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.

    We have no bibliographic references for this item. You can help adding them by using 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 RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Wiley Content Delivery (email available below). General contact details of provider: https://doi.org/10.1002/(ISSN)1526-4025 .

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

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.