Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/142040
Authors: 
Shittu, Olanrewaju I.
Yaya, OlaOlua S.
Year of Publication: 
2011
Citation: 
[Journal:] CBN Journal of Applied Statistics [ISSN:] 2476-8472 [Publisher:] The Central Bank of Nigeria [Place:] Abuja [Volume:] 2 [Year:] 2011 [Issue:] 1 [Pages:] 1-13
Abstract: 
Long memory and nonlinearity are two key features of some macroeconomic time series which are characterized by persistent shocks that seem to rise faster during recession than it falls during expansion. A variant of nonlinear time series model together with long memory are used to examine these features in inflation series for three economies. The results which compares favourably with that of van Dijk et al. (2002) elicit some interesting attributes of inflation in the developed and developing economies.
Subjects: 
Fractional integration
Long memory
Smooth transition autoregression
Inflation rates
Time series
JEL: 
C22
C51
C87
Document Type: 
Article

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