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Sonderforschungsbereich 373: Quantification and Simulation of Economic Processes, Humboldt-Universität Berlin >
Discussion Papers, SFB 373, HU Berlin >
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http://hdl.handle.net/10419/62697
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| Title: | | Unit and fractional roots in the presence of abrupt changes with an application to the Brazilian inflation rate  |
| 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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