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Fractional integration of inflation rates: a note
Stockholm University, Faculty of Social Sciences, Department of Economics.
2009 (English)In: Applied Economics Letters, ISSN 1350-4851, E-ISSN 1466-4291, Vol. 16, no 11, 1103-1105 p.Article in journal (Refereed) Published
Abstract [en]

This note studies the persistence of CPI inflation for 12 OECD countries. The fraction order of integration is estimated through the wavelet-OLS estimator of Jensen (1999). The results show that CPI inflation is characterized by mean reversion in the long run with finite variance.

Place, publisher, year, edition, pages
2009. Vol. 16, no 11, 1103-1105 p.
Keyword [en]
Estimator
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Economics
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URN: urn:nbn:se:su:diva-59937DOI: 10.1080/13504850701335384ISI: 000267462800005OAI: oai:DiVA.org:su-59937DiVA: diva2:432769
Note
authorCount :1Available from: 2011-08-05 Created: 2011-08-02 Last updated: 2017-12-08Bibliographically approved

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