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The Long Memory and Variability of Inflation : A Reappraisal of the Friedman Hypothesis

Author

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  • Baillie, R.T.
  • Chung, C,F.
  • Tieslau, M.A.

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Suggested Citation

  • Baillie, R.T. & Chung, C,F. & Tieslau, M.A., 1992. "The Long Memory and Variability of Inflation : A Reappraisal of the Friedman Hypothesis," Papers 9246, Tilburg - Center for Economic Research.
    • Handle: RePEc:fth:tilbur:9246
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    Cited by:

    1. Koop, Gary & Ley, Eduardo & Osiewalski, Jacek & Steel, Mark F. J., 1997. "Bayesian analysis of long memory and persistence using ARFIMA models," Journal of Econometrics, Elsevier, vol. 76(1-2), pages 149-169.
    2. María Dolores Gadea & Laura Mayoral, 2006. "The Persistence of Inflation in OECD Countries: A Fractionally Integrated Approach," International Journal of Central Banking, International Journal of Central Banking, vol. 2(1), March.
    3. Cheung, Yin-Wong & Chung, Sang-Kuck, 2009. "A Long Memory Model with Mixed Normal GARCH for US Inflation Data," Santa Cruz Department of Economics, Working Paper Series qt94r403d2, Department of Economics, UC Santa Cruz.
    4. 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.
    5. Laura Mayoral, 2005. "Is the observed persistence spurious? A test for fractional integration versus short memory and structural breaks," Economics Working Papers 956, Department of Economics and Business, Universitat Pompeu Fabra.
    6. Yin-Wong Cheung & Sang-Kuck Chung, 2011. "A Long Memory Model with Normal Mixture GARCH," Computational Economics, Springer;Society for Computational Economics, vol. 38(4), pages 517-539, November.

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