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Unit and fractional roots in the presence of abrupt changes with an application to the brazilian inflation rate

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  • Luis A. Gil-Alanaa

Abstract

We analyse in this article the monthly structure of the Brazilian inflation rate by means of fractionally integrated techniques. This series is characterized by strong government interventions to bring inflation to a low level. We use a testing procedure due to Robinson (1994) which allow us to model the underlying dynamic of the series in terms of I(d) statistical models, while the government interventions are specified in terms of dummy variables. The results show that the series can be described in terms of an I(0.75) process with some of the interventions having little impact on the series.
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Suggested Citation

  • Luis A. Gil-Alanaa, 2005. "Unit and fractional roots in the presence of abrupt changes with an application to the brazilian inflation rate," Empirical Economics, Springer, vol. 30(1), pages 193-207, January.
    • Handle: RePEc:spr:empeco:v:30:y:2005:i:1:p:193-207
    DOI: 10.1007/s00181-004-0228-2
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    Cited by:

    1. Augustine Arize & John Malindretos & Kiseok Nam, 2005. "Inflation and Structural Change in 50 Developing Countries," Atlantic Economic Journal, Springer;International Atlantic Economic Society, vol. 33(4), pages 461-471, December.
    2. Gadea, Maria Dolores & Sabate, Marcela & Serrano, Jose Maria, 2004. "Structural breaks and their trace in the memory: Inflation rate series in the long-run," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 14(2), pages 117-134, April.
    3. Barros, Carlos Pestana & Gil-Alana, Luis A. & Payne, James E., 2011. "An analysis of oil production by OPEC countries: Persistence, breaks, and outliers," Energy Policy, Elsevier, vol. 39(1), pages 442-453, January.
    4. Luis A. Gil-Alana & Andrea Mervar & James E. Payne, 2017. "The stationarity of inflation in Croatia: anti-inflation stabilization program and the change in persistence," Economic Change and Restructuring, Springer, vol. 50(1), pages 45-58, February.

    More about this item

    Keywords

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    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes

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