Investigating Inflation Dynamics and Structural Change with an Adaptive ARFIMA Approach
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More about this item
KeywordsARFIMA; FIGARCH; long memory; structural change; inflation; G7.;
- C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2009-05-23 (All new papers)
- NEP-CBA-2009-05-23 (Central Banking)
- NEP-ECM-2009-05-23 (Econometrics)
- NEP-ETS-2009-05-23 (Econometric Time Series)
- NEP-MAC-2009-05-23 (Macroeconomics)
- NEP-MON-2009-05-23 (Monetary Economics)
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