Baillie, Richard T.; Morana, Claudio - In: Economic Modelling 29 (2012) 6, pp. 2451-2459
Many previous analyses of inflation have used either long memory or nonlinear time series models. This paper suggests a … the G7 countries and find evidence of stable long memory parameters across regimes and also of significant nonlinear … effects. The estimated adaptive ARFIMA models generally have less persistent long memory parameters than previous studies …