Inflation rates; long-memoray, level shifts, or both?
AbstractWe examine if US inflation rates series can be characterized by a long-memory model, by a model with occasional level shifts or by a new model, which jointly captures the two features. Through simulations we show that this new model can be usefully applied in practice. For 23 inflation rate series we find that generally the long-memory model is best, both in terms of in-sample fit and out-of-sample forecasts.
Download InfoIf 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.
Bibliographic InfoPaper provided by Erasmus University Rotterdam, Econometric Institute in its series Econometric Institute Report with number EI 2002-08.
Date of creation: 11 Mar 2002
Date of revision:
Contact details of provider:
Web page: http://www.few.eur.nl/few
Long memory; Inflation; Level shifts;
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Dijk, D.J.C. van & Franses, Ph.H.B.F. & Paap, R., 2000. "A nonlinear long memory model for US unemployment," Econometric Institute Report EI 2000-30/A, Erasmus University Rotterdam, Econometric Institute.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Anneke Kop).
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.