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.

Additional Metadata
Keywords UK, fractional integration, periodic models, seasonal time series
Persistent URL dx.doi.org/10.1016/S0169-2070(96)00715-7, hdl.handle.net/1765/2104
Journal International Journal of Forecasting
Citation
Franses, Ph.H.B.F, & Ooms, M. (1997). A periodic long memory model for quarterly UK inflation. International Journal of Forecasting, 117–126. doi:10.1016/S0169-2070(96)00715-7