Access Restriction

Author Caporale, Guglielmo Maria ♦ Gil-Alana, Luis A.
Source EconStor
Content type Text
Publisher Center for Economic Studies and Ifo Institute (CESifo)
File Format PDF
Language English
Subject Domain (in DDC) Social sciences ♦ Economics
Subject Keyword fractional integration ♦ long memory ♦ inflation ♦ Inflationsrate ♦ Zeitreihenanalyse ♦ Faktorenanalyse ♦ Stochastischer Prozess ♦ Theorie ♦ Frankreich ♦ Italien ♦ Großbritannien ♦ Single Equation Models; Single Variables: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes ♦ Economic Growth and Aggregate Productivity: General
Abstract In this paper we specify a multi-factor long-memory process that enables us to estimate the fractional differencing parameters at each frequency separately, and adopt this framework to model quarterly prices in three European countries (France, Italy and the UK). The empirical results suggest that inflation in France and Italy is nonstationary. However, while for the former country this applies both to the zero and the seasonal frequencies, in the case of Italy the nonstationarity comes exclusively from the long-run or zero frequency. In the UK, inflation seems to be stationary with a component of long memory at both the zero and the semi-annual frequencies, especially at the former.
Part of series CESifo Working Paper x2648
Learning Resource Type Article
Publisher Date 2009-01-01
Publisher Place Munich
Rights Holder