Nelson, Charles R. (contributor); Zivot, Eric (contributor); … - 2001 - [Elektronische Ressource]
level failed to reject. Garcia and Perron (1996) argue for an I(0) Markov-switching trend
4
and variance model of inflation … interest rates in a very persistent fashion during low inflation periods. However,
during high inflation times Federal Reserve … inflation times)
t
y is a random walk with
no drift, that is 1
0
=ρ , 0
0
=µ , and ).25 ,0(~0| NS
tt
=ε . When 1=
t
S (high …