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


  • Gil-Alaña, Luis A.


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.

Suggested Citation

  • Gil-Alaña, Luis A., 2001. "Unit and fractional roots in the presence of abrupt changes with an application to the Brazilian inflation rate," SFB 373 Discussion Papers 2001,67, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
  • Handle: RePEc:zbw:sfb373:200167

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    References listed on IDEAS

    1. Ben-David, Dan & Papell, David, 1994. "The Great Wars, the Great Crash, and the Unit Root Hypothesis: Some New Evidence About An Old Stylized Fact," CEPR Discussion Papers 965, C.E.P.R. Discussion Papers.
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    8. Cati, Regina Celia & Garcia, Marcio G P & Perron, Pierre, 1999. "Unit Roots in the Presence of Abrupt Governmental Interventions with an Application to Brazilian Data," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 14(1), pages 27-56, Jan.-Feb..
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    12. Gil-Alaña, L. A. & Robinson, Peter M., 2001. "Testing of seasonal fractional integration in UK and Japanese consumption and income," LSE Research Online Documents on Economics 298, London School of Economics and Political Science, LSE Library.
    13. Gil-Alana, Luis A., 1999. "Testing fractional integration with monthly data," Economic Modelling, Elsevier, vol. 16(4), pages 613-629, December.
    14. William R. Parke, 1999. "What Is Fractional Integration?," The Review of Economics and Statistics, MIT Press, vol. 81(4), pages 632-638, November.
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    Cited by:

    1. 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.

    More about this item


    Long memory; Fractional integration;

    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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