| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 5055099 | Economic Modelling | 2012 | 9 Pages |
Abstract
⺠This paper suggests a simple adaptive modification of the basic ARFIMA model. ⺠The model allows for both long memory and structural change. ⺠Simulation evidence suggests the model can be accurately estimated by QMLE. ⺠We investigate monthly CPI inflation series for the G7 countries. ⺠We find stable persistence across regimes and significant nonlinear effects.
Related Topics
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Economics and Econometrics
Authors
Richard T. Baillie, Claudio Morana,