153
Views
4
CrossRef citations to date
0
Altmetric
Original Articles

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

, &

References

  • Backus, D. and Zin, S. (1993) Long-memory inflation uncertainty: evidence from the term structure of interest rates, Journal of Money, Credit and Banking, 25, 681–700. doi:10.2307/2077735
  • Baillie, R. T., Chung, C. F. and Tieslau, M. A. (1996) Analysing inflation by the fractionally integrated ARFIMA-GARCH model, Journal of Applied Econometrics, 11, 23–40. doi:10.1002/(SICI)1099-1255(199601)11:1<23::AID-JAE374>3.0.CO;2-M
  • Baum, C. F., Barkoulas, J. and Caglayan, M. (1999) Persistence in international inflation rates, Southern Economic Journal, 65, 900–13. doi:10.2307/1061283
  • Bierens, H. J. (1997) Testing the unit root with drift hypothesis against nonlinear trend stationarity with an application to the US price level and interest rate, Journal of Econometrics, 81, 29–64. doi:10.1016/S0304-4076(97)00033-X
  • Boutahar, M. and Jouini, J. (2005) A new model for the US inflation rate. Structural change and long memory approaches, Manuscript, GREQAM, in International Workshop on Models with Breaks in Economics and Finance: Recent Developments, Université de la Mediterranée, Marseille, France. November 2003.
  • Caporale, G. M. and Gil-Alana, L. A. (2007) Nonlinearities and fractional integration in the US unemployment rate, Oxford Bulletin of Economics and Statistics, 69, 521–44. doi:10.1111/j.1468-0084.2007.00449.x
  • Cuestas, J. C. and Gil-Alana, L. A. (2012) A non-linear approach with long range dependence based on Chebyshev polynomials, Working Papers 2012-013, Department of Economics, The University of Sheffield, Sheffield.
  • Delgado, M. and Robinson, P. M. (1994) New methods for the analysis of long-memory time-series: application to Spanish inflation, Journal of Forecasting, 13, 97–107. doi:10.1002/for.3980130205
  • Demetrescu, M., Kuzin, V. and Hassler, U. (2008) Long memory testing in the time domain, Econometric Theory, 24, 176–215. doi:10.1017/S0266466608080092
  • Diebold, F. X. and Inoue, A. (2001) Long memory and regime switching, Journal of Econometrics, 105, 131–59. doi:10.1016/S0304-4076(01)00073-2
  • Engle, R. F. and Smith, A. D. (1999) Stochastic permanent breaks, Review of Economics and Statistics, 81, 553–74. doi:10.1162/003465399558382
  • Granger, C. W. J. and Hyung, N. (2004) Occasional structural breaks and long memory with an application to the S&P 500 absolute stock returns, Journal of Empirical Finance, 11, 399–421. doi:10.1016/j.jempfin.2003.03.001
  • Hamming, R. W. (1973) Numerical Methods for Scientists and Engineers, McGraw-Hill Kogakusha, Dover.
  • Hassler, U. (1993) Regression of spectral estimators with fractionally integrated time series, Journal of Time Series Analysis, 14, 369–80. doi:10.1111/j.1467-9892.1993.tb00151.x
  • Hassler, U. and Wolters, J. (1995) Long memory in inflation rates. international evidence, Journal of Business and Economic Statistics, 13, 37–45.
  • Lobato, I. N. and Savin, N. E. (1998) Real and spurious long memory properties of stock market data, Journal of Business and Economic Statistics, 16, 261–68.
  • Robinson, P. M. (1994) Efficient tests of nonstationary hypotheses, Journal of the American Statistical Association, 89, 1420–37. doi:10.1080/01621459.1994.10476881
  • Smyth, G. K. (1998) Polynomial Aproximation, John Wiley & Sons, Ltd, Chichester.
  • Tomasevic, N. M. and Stanivuk, T. (2009) Regression analysis and approximation by means of Chebyshev polynomial, Informatologia, 42, 166–72.
  • Van Dijk, D. J. C., Franses, P. H. and Paap, R. (2002) A nonlinear long memory model for US unemployment, Macroeconomic Dynamics, 6, 202–41.

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.