Long Memory in Inflation Rates: International Evidence
检验五个工业国家的月度通胀率，发现单位根检验与平稳性检验结果矛盾，进而采用分数积分模型估计长期记忆参数，结果支持通胀率存在长期记忆。
We examine monthly inflation rates of five industrial countries. The application of tests against stationarity as well as tests against a unit root yield contradictory results. Thus fractional integration allowing for long memory is a plausible model. We discuss and apply the periodogram regression to estimate the difference parameters. For all countries we find estimates significantly different from 1 as well as from 0. This is evidence in favor of long memory. Specification tests and maximum likelihood estimates support the fitted models. Finally, we relate our empirical results to the construction of the data.