A periodic long memory model for quarterly UK inflation
January 1997
Article
pp 117-126.
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We consider an extension of the fractionally integrated ARIMA(0, d, 0) model for quarterly UK inflation, where we allow the fractional integration parameter d to vary with the season s. This periodic ARFIMA(0, d, 0) model does not only provide an informative in-sample description, it may also be useful for out-of-sample forecasting. The main result is that the integration parameter in the first two quarters is significantly larger than that in the last two quarters.
Keywords
Automatically Extracted Terms
- model
- forecasting
- value
- inflation
- journal
- parameter
- result
- estimation
- series
- quarter
- time series analysis
- method
- franse
- arfima
- outlier
- correction
- autocorrelation
- ooms /
- forecast
- estimation results
