Long Memory in Inflation Rates: International Evidence
通货膨胀率的长记忆：国际证据
The authors examine monthly inflation rates of five industrial countries. The application of tests against stationarity as well as tests against a unit root yield contradictory results. Thus, fractional integration allowing for long memory is a plausible model. The authors discuss and apply the periodogram regression in order to estimate the difference parameters. For all countries, the authors find estimates significantly different from one as well as from zero. This is…