Add to ORKGIn this article we analyse the monthly structure of the Brazilian inflation rate by means of using fractionally integrated techniques. This series is characterized by strong government interventions to bring inflation to a low level. We use a testing procedure due to Robinson (1994) which permits us to model the underlying dynamics of the series in terms of an I(d) statistical model, with the government interventions being specified in terms of dummy variables. The results show that the series can be well described in terms of an I(0.75) process with some of the interventions having little impact on the series.
This paper uses fractional integration to examine the long-run dynamics and the cyclical structure o...
This thesis concentrates on testing fractional (and seasonally fractional) integration and cointegra...
This paper tests for PPP in a group of seventeen Latin American (LA) countries by applying fractiona...
We analyse in this article the monthly structure of the Brazilian inflation rate by means of fractio...
We analyse in this article the monthly structure of the Brazilian inflation rate by means of fractio...
It has been argued by several authors that the inflationary dynamics in Brazil follow a unit root pr...
In this article we propose a new approach that permits us to simultaneously test unit and fractional...
This paper makes use of Auto-Regressive Fractionally Integrated (ARFIMA) models, as well as unit roo...
This paper is an application of the subject of testing for unit roots in a time series in the presen...
Various unit roots tests are suggested over the years. However, many of them suffer severe size prob...
The annual structure of the real GDP in the UK, France, Germany and Italy is examined in this articl...
In this article we propose a new approach that permits us to simultaneously test unit and fractional...
The statistical properties of inflation and, in particular, its degree of persistence and stability ...
In this article we model the log of the U.S. and the U.K. real oil prices in terms of fractionally i...
In this paper we assume inflation rates in European Union countries may in fact be fractionally inte...
This paper uses fractional integration to examine the long-run dynamics and the cyclical structure o...
This thesis concentrates on testing fractional (and seasonally fractional) integration and cointegra...
This paper tests for PPP in a group of seventeen Latin American (LA) countries by applying fractiona...
We analyse in this article the monthly structure of the Brazilian inflation rate by means of fractio...
We analyse in this article the monthly structure of the Brazilian inflation rate by means of fractio...
It has been argued by several authors that the inflationary dynamics in Brazil follow a unit root pr...
In this article we propose a new approach that permits us to simultaneously test unit and fractional...
This paper makes use of Auto-Regressive Fractionally Integrated (ARFIMA) models, as well as unit roo...
This paper is an application of the subject of testing for unit roots in a time series in the presen...
Various unit roots tests are suggested over the years. However, many of them suffer severe size prob...
The annual structure of the real GDP in the UK, France, Germany and Italy is examined in this articl...
In this article we propose a new approach that permits us to simultaneously test unit and fractional...
The statistical properties of inflation and, in particular, its degree of persistence and stability ...
In this article we model the log of the U.S. and the U.K. real oil prices in terms of fractionally i...
In this paper we assume inflation rates in European Union countries may in fact be fractionally inte...
This paper uses fractional integration to examine the long-run dynamics and the cyclical structure o...
This thesis concentrates on testing fractional (and seasonally fractional) integration and cointegra...
This paper tests for PPP in a group of seventeen Latin American (LA) countries by applying fractiona...