Estimating memory parameter in the US inflation rate
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References listed on IDEAS
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- 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.
- Tzavalis, Elias & Wickens, M. R., 1996.
"Forecasting inflation from the term structure,"
Journal of Empirical Finance,
Elsevier, vol. 3(1), pages 103-122, May.
- Katsumi Shimotsu & Peter C.B. Phillips, 2002.
"Exact Local Whittle Estimation of Fractional Integration,"
Cowles Foundation Discussion Papers
1367, Cowles Foundation for Research in Economics, Yale University, revised Jul 2004.
- Katsumi Shimotsu & Peter C.B. Phillips, 2002. "Exact Local Whittle Estimation of Fractional Integration," Economics Discussion Papers 535, University of Essex, Department of Economics.
- Breitung, Jörg & Hassler, Uwe, 2000.
"Inference on the cointegration rank in fractionally integrated processes,"
SFB 373 Discussion Papers
2000,65, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
- Breitung, Jorg & Hassler, Uwe, 2002. "Inference on the cointegration rank in fractionally integrated processes," Journal of Econometrics, Elsevier, vol. 110(2), pages 167-185, October.
- 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.
- Rose, Andrew Kenan, 1988. " Is the Real Interest Rate Stable?," Journal of Finance, American Finance Association, vol. 43(5), pages 1095-1112, December.
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