EconStor >
Deutsches Institut für Wirtschaftsforschung (DIW), Berlin >
DIW-Diskussionspapiere >

Please use this identifier to cite or link to this item:

http://hdl.handle.net/10419/29766
  
Title:Multi-factor Gegenbauer processes and European inflation rates PDF Logo
Authors:Caporale, Guglielmo Maria
Gil-Alana, Luis A.
Issue Date:2009
Series/Report no.:Discussion papers // German Institute for Economic Research 879
Abstract:In this paper we specify a multi-factor long-memory process that enables us to estimate the fractional differencing parameters at each frequency separately, and adopt this framework to model quarterly prices in three European countries (France, Italy and the UK). The empirical results suggest that inflation in France and Italy is nonstationary. However, while for the former country this applies both to the zero and the seasonal frequencies, in the case of Italy the nonstationarity comes exclusively from the long-run or zero frequency. In the UK, inflation seems to be stationary with a component of long memory at both the zero and the semi-annual frequencies, especially at the former.
Subjects:Fractional integration
long memory
inflation
JEL:C22
O40
Document Type:Working Paper
Appears in Collections:Publikationen von Forscherinnen und Forschern des DIW
DIW-Diskussionspapiere

Files in This Item:
File Description SizeFormat
599514752.pdf210.01 kBAdobe PDF
No. of Downloads: Counter Stats
Download bibliographical data as: BibTeX
Share on:http://hdl.handle.net/10419/29766

Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.