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Estimating memory parameter in the US inflation rate

  • Lee, Jin
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    File URL: http://www.sciencedirect.com/science/article/B6V84-4FTJ08M-5/2/790d2fa336a838e19f08013ec82d07a5
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    Article provided by Elsevier in its journal Economics Letters.

    Volume (Year): 87 (2005)
    Issue (Month): 2 (May)
    Pages: 207-210

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    Handle: RePEc:eee:ecolet:v:87:y:2005:i:2:p:207-210
    Contact details of provider: Web page: http://www.elsevier.com/locate/ecolet

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    1. Joerg Breitung and Uwe Hassler, 2001. "Inference on the Cointegration Rank in Fractionally Integrated Processes," Computing in Economics and Finance 2001 233, Society for Computational Economics.
    2. Hassler, Uwe & Wolters, Jurgen, 1995. "Long Memory in Inflation Rates: International Evidence," Journal of Business & Economic Statistics, American Statistical Association, vol. 13(1), pages 37-45, January.
    3. Katsumi Shimotsu & Peter C.B. Phillips, 2002. "Exact Local Whittle Estimation of Fractional Integration," Economics Discussion Papers 535, University of Essex, Department of Economics.
    4. Rose, Andrew Kenan, 1988. " Is the Real Interest Rate Stable?," Journal of Finance, American Finance Association, vol. 43(5), pages 1095-1112, December.
    5. Tzavalis, E. & Wickens, M.R., 1995. "Forecasting Inflation from the Term Structure," Discussion Papers 9519, Exeter University, Department of Economics.
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