Stochastic Long Memory in Traded Goods Prices
AbstractUsing spectral regression and exact maximum likelihood methods, we test for long memory dynamics in the traded goods prices for the G7 countries, as measured in their import and export price indices. Significant and robust evidence of fractional dynamics with long memory features is found in both import and export price inflation rates.
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Bibliographic InfoPaper provided by Boston College Department of Economics in its series Boston College Working Papers in Economics with number 349..
Length: 14 pages
Date of creation: 01 Jan 1997
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Publication status: published, Applied Economics Letters, 1998, 5:135-138.
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