The time series characteristics of postwar US inflation have been found to vary over time. The changes are investigated in a model-based analysis where the time series of inflation is specified by a long memory autoregressive fractionally integrated moving average process with its variance...

Practical aspects of likelihood-based inference and forecasting of series with long memory are considered, based on the arfima(p; d; q) model with deterministic regressors. Sampling characteristics of approximate and exact first-order asymptotic methods are compared. The analysis is extended...

Practical aspects of likelihood-based inference and forecasting of series with long memory are considered, based on the arfima(p; d; q) model with deterministic regressors. Sampling characteristics of approximate and exact first-order asymptotic methods are compared. The analysis is extended...