Fractional integration of inflation rates: a note: Applied Economics Letters: Vol 16, No 11

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Abstract

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 (Citation1999). The results show that CPI inflation is characterized by mean reversion in the long run with finite variance.

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Fractional integration of inflation rates: a note

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