Template-Type: ReDIF-Paper 1.0
Author-Name: Hyung, N.
Author-Name-Last: Hyung
Author-Name-First: Namwon
Author-Name: Franses, Ph.H.B.F.
Author-Name-Last: Franses
Author-Name-First: Philip Hans
Author-Person: pfr226
Title: Inflation rates; long-memoray, level shifts, or both?
Abstract: We examine if US inflation rates series can be characterized by a long-memory model,  by a model with occasional level shifts or by a new model, which jointly captures the  two features. Through simulations we show that this new model can be usefully applied  in practice. For 23 inflation rate series we find that generally the long-memory model  is best, both in terms of in-sample fit and out-of-sample forecasts.
Creation-Date: 2002-03-11
File-URL: https://repub.eur.nl/pub/579/feweco20020501092243.pdf
File-Format: application/pdf
Series: RePEc:ems:eureir
Number: EI 2002-08
Keywords: Inflation, Level shifts, Long memory
Handle: RePEc:ems:eureir:579