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Inflation forecasting in Angola: a fractional approach

Listed author(s):
  • Carlos Barros
  • Luis Gil-Alana

This paper forecasts inflation in Angola with an ARFIMA (AutoRegressive Fractionally Integrated Moving Average) model. It is found that inflation in Angola is a highly persistent variable with an order of integration constrained between 0 and 1. Moreover, a structural break is found in August, 1996. Using the second sub-sample for forecasting purposes, the results reveal that inflation will remain low, assuming that prudent macroeconomic policies are maintained.

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File URL: http://pascal.iseg.utl.pt/~cesa/RePEc/cav/cavwpp/wp103.pdf
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Paper provided by CEsA - Center of African, Asian and Latin American Studies in its series CEsA Working Papers with number 103.

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Date of creation: Feb 2012
Handle: RePEc:cav:cavwpp:wp103
Contact details of provider: Postal:
CEsA - Center of African, Asian and Latin American Studies, University of Lisbon, Rua Miguel Lupi 20, 1249-078 Lisboa, Portugal

Web page: http://pascal.iseg.utl.pt/~cesa/

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  18. Baillie, Richard T & Chung, Ching-Fan & Tieslau, Margie A, 1996. "Analysing Inflation by the Fractionally Integrated ARFIMA-GARCH Model," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 11(1), pages 23-40, Jan.-Feb..
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  24. Luis A. Gil-Alana & S.G. Brian Henry, 2003. "Fractional Integration and the Dynamics of UK Unemployment," Faculty Working Papers 10/03, School of Economics and Business Administration, University of Navarra.
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  29. 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.
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