Modelling African inflation rates: nonlinear deterministic terms and long-range dependence

Abstract

This article estimates a fractional integration model with nonlinear deterministic trends for the inflation rates of five African countries. The results indicate that nonlinearities are present in the case of Angola and Lesotho, but not in the case of Botswana, Namibia and South Africa. Moreover, the degrees of differentiation are higher in the latter group of countries.

Keywords:

• nonlinear models
• fractional integration
• Africa

JEL Classification:

• C22
• E31