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Original Articles

Fractional integration of inflation rates: a note

Pages 1103-1105 | Published online: 26 Jun 2009

References

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  • Gadea , M. D. and Mayoral , L. 2006 . The persistence of inflation in OECD countries: a fractionally integrated approach . International Journal of Central Banking , 2 : 51 – 104 .
  • Geweke , J. and Porter-Hudak , S. 1983 . The estimation and application of long memory time series models . Journal of Time Series Analysis , 4 : 221 – 38 .
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  • Jensen , M. C. 1999 . Using wavelets to obtain a consistent ordinary least squares estimator of the long-memory parameter . Journal of Forecasting , 18 : 17 – 32 .
  • Levin , A. T. and Piger , J. 2006 . “ Is inflation persistence intrinsic in industrial economies? ” . unpublished manuscript, Federal Reserve Board .
  • Tkacz , G. 2001 . Estimating the fractional order of integration of interest rates using a wavelet OLS estimator . Studies in Nonlinear Dynamics and Econometrics , 5 : 19 – 32 .

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