applied to quarterly and monthly US inflation in an empirical study. We find that the persistence of quarterly inflation has … and density forecasts for monthly US inflation. …

A key application of long memory time series models concerns inflation. Long memory implies that shocks have a long … such level shifts are not unlikely for inflation, where the shifts may be caused by sudden oil price shocks, we examine … exaggerated. Our main findings are that apparent longmemory is quite resistant to level shifts, although for a few inflation rates …

We investigate changes in the time series characteristics of postwar U.S. inflation. In a model-based analysis the … conditional mean of inflation is specified by a long memory autoregressive fractionally integrated moving average process and the … efficient estimates of the parameters using a monthly dataset of core inflation for which we consider different subsamples of …

concerned with themodelling and forecasting of two U.S. macroeconomic time series:inflation and industrial production. …

We examine recursive out-of-sample forecasting of monthly postwarU.S. core inflation and log price levels. We use … fractional integration and structural breaks in the meanand variance of inflation in the 1970s and 1980s and weincorporate these …) model with those for ARIMA(1,d,1) models withfixed order of d=0 and d=1 for inflation. Comparing meansquared forecast errors …