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dc.contributor.authorGil-Alaña, Luis A.en_US
dc.date.accessioned2012-09-18T13:45:23Z-
dc.date.available2012-09-18T13:45:23Z-
dc.date.issued2001en_US
dc.identifier.piurn:nbn:de:kobv:11-10050366en_US
dc.identifier.urihttp://hdl.handle.net/10419/62697-
dc.description.abstractWe 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.en_US
dc.language.isoengen_US
dc.publisherHumboldt-Universität Berlinen_US
dc.relation.ispartofseriesDiscussion Papers, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes 2001,67en_US
dc.subject.jelC22en_US
dc.subject.ddc330en_US
dc.subject.keywordLong memoryen_US
dc.subject.keywordFractional integrationen_US
dc.titleUnit and fractional roots in the presence of abrupt changes with an application to the Brazilian inflation rateen_US
dc.typeWorking Paperen_US
dc.identifier.ppn725695730en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen_US
dc.identifier.repecRePEc:zbw:sfb373:200167-
Appears in Collections:Discussion Papers, SFB 373, HU Berlin

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