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Title:Unit and fractional roots in the presence of abrupt changes with an application to the Brazilian inflation rate PDF Logo
Authors:Gil-Alaña, Luis A.
Issue Date:2001
Series/Report no.:Discussion Papers, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes 2001,67
Abstract: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.
Subjects:Long memory
Fractional integration
JEL:C22
Persistent Identifier of the first edition:urn:nbn:de:kobv:11-10050366
Document Type:Working Paper
Appears in Collections:Discussion Papers, SFB 373, HU Berlin

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