Stochastic Long Memory in Traded Goods Prices

Using spectral regression and exact maximum likelihood methods, we test for long memory dynamics in the traded goods prices for the G7 countries, as measured in their import and export price indices. Significant and robust evidence of fractional dynamics with long memory features is found in both import and export price inflation rates.

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Year of publication:	1997-01-01
Authors:	Barkoulas, John T. ; Baum, Christopher F. ; Oguz, Gurkan S.
Institutions:	Department of Economics, Boston College

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Extent:	application/pdf
Series:	Boston College Working Papers in Economics.
Type of publication:	Book / Working Paper
Language:	English
Notes:	published, Applied Economics Letters, 1998, 5:135-138. The text is part of a series Boston College Working Papers in Economics Number 349. 14 pages
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005074051