Bos, Charles S.; Franses, Philip Hans; Ooms, Marius - 1998
A key application of long memory time series models concerns inflation. Long memory implies that shocks have a long …-lasting effect. It may however be that empirical evidence for long memory is caused by neglecting one or more level shifts. Since … whether evidence for long memory (indicated by the relevance of an ARFIMA model) in G7 inflationrates is spurious or …