Long Memory and Level Shifts: Re-Analyzing In ation Rates
نویسندگان
چکیده
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 (indicated by the relevance of an ARFIMA model) in G7 innation rates is spurious or exaggerated. Our main ndings are that apparent long memory is quite resistant to level shifts, although for a few innation rates we nd that evidence for long memory disappears.
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