Franses, Philip Hans; Ooms, Marius; Bos, Charles S. - In: Empirical Economics 24 (1999) 3, pp. 427-449
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 … whether evidence for long memory (indicated by the relevance of an ARFIMA model) in G7 inflation rates is spurious or …