Bos, Charles S.; Koopman, Siem Jan; Ooms, Marius - School of Economics and Management, University of Aarhus - 2007
We investigate changes in the time series characteristics of postwar U.S. inflation. In a model-based analysis the … conditional mean of inflation is specified by a long memory autoregressive fractionally integrated moving average process and the … efficient estimates of the parameters using a monthly dataset of core inflation for which we consider different subsamples of …