Inflation forecasting in Angola: a fractional approach
AbstractThis paper forecasts inflation in Angola with an ARFIMA (AutoRegressive Fractionally Integrated Moving Average) model. It is found that inflation in Angola is a highly persistent variable with an order of integration constrained between 0 and 1. Moreover, a structural break is found in August, 1996. Using the second sub-sample for forecasting purposes, the results reveal that inflation will remain low, assuming that prudent macroeconomic policies are maintained.
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Bibliographic InfoPaper provided by CEsA Centre of African and Development Studies in its series CEsA Working Papers with number 2012/103.
Date of creation: Feb 2012
Date of revision:
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Angola; inflation; long memory;
Find related papers by JEL classification:
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models &bull Diffusion Processes
This paper has been announced in the following NEP Reports:
- NEP-ALL-2012-05-22 (All new papers)
- NEP-CBA-2012-05-22 (Central Banking)
- NEP-FOR-2012-05-22 (Forecasting)
- NEP-MON-2012-05-22 (Monetary Economics)
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