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 such level shifts are not unlikely for inflation,...

We examine recursive out-of-sample forecasting of monthly postwarU.S. core inflation and log price levels. We use theautoregressive fractionally integrated moving average model withexplanatory variables (ARFIMAX). Our analysis suggests asignificant explanatory power of leading indicators...

The abundance of highly disaggregate data (e.g., at 5 second intervals) raises the question of the optimal data interval to estimate advertising carryover. The literature assumes that 1) the optimal data interval is the inter-purchase time, 2) too disaggregate data causes a disaggregation bias...