Long memory and level shifts: Re-analyzing inflation rates
نویسندگان
چکیده
منابع مشابه
Long Memory and Level Shifts: Re-Analyzing In ation Rates
A key application of long memory time series models concerns innation. Long memory implies that shocks have a long-lasting eeect. It may however be that empirical evidence for long memory is caused by neglecting one or more level shifts. Since such level shifts are not unlikely for innation, where the shifts may be caused by sudden oil price shocks, we examine whether evidence for long memory (...
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ژورنال
عنوان ژورنال: Empirical Economics
سال: 1999
ISSN: 0377-7332,1435-8921
DOI: 10.1007/s001810050065