Multi-Factor Gegenbauer Processes and European Inflation Rates
نویسندگان
چکیده
منابع مشابه
Multi-Factor Gegenbauer Processes and European Inflation Rates
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...
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ژورنال
عنوان ژورنال: Journal of Economic Integration
سال: 2011
ISSN: 1225-651X,1976-5525
DOI: 10.11130/jei.2011.26.2.386