Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/85643
Authors: 
Bos, Charles S.
Franses, Philip Hans
Ooms, Marius
Year of Publication: 
1998
Series/Report no.: 
Tinbergen Institute Discussion Paper 98-039/4
Abstract: 
A key application of long memory time series models concerns inflation. Long memory implies that shocks have a long-lasting effect. It may however be that empirical evidence for long memory is caused by neglecting one or more level shifts. Since such level shifts are not unlikely for inflation, where the shifts may be caused by sudden oil price shocks, we examine whether evidence for long memory (indicated by the relevance of an ARFIMA model) in G7 inflationrates is spurious or exaggerated. Our main findings are that apparent longmemory is quite resistant to level shifts, although for a few inflation rates we find that evidence for long memory disappears.
Subjects: 
Long memory
fractional integration
structural change
inflation
Document Type: 
Working Paper

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