Stochastic Long Memory in Traded Goods Prices
Using spectral regression and exact maximum likelihood methods, we test for long memory dynamics in the traded goods prices for the G7 countries, as measured in their import and export price indices. Significant and robust evidence of fractional dynamics with long memory features is found in both import and export price inflation rates.
|Date of creation:||01 Jan 1997|
|Date of revision:|
|Publication status:||published, Applied Economics Letters, 1998, 5:135-138.|
|Contact details of provider:|| Postal: Boston College, 140 Commonwealth Avenue, Chestnut Hill MA 02467 USA|
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