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| Author: | Bos, C. Franses, P. Ooms, M. |
| Title: | Long memory and level shifts: re-analyzing inflation rates |
| Journal: | Empirical Economics
1999 : VOL. 24:3, p. 427-449 |
| Index terms: | ECONOMICS INFLATION RATES ECONOMIC CONDITIONS |
| Language: | eng |
| Abstract: | A key application of long memory time series models concerns inflation. Long memory implies that shocks have a long-lasting effect. 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 inflation, where the shifts may be caused by a sudden oil price shocks, the authors examine whether evidence for long memory in G7 inflation rates is spurious or exaggerated. |
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