Baum, Christopher F.; Barkoulas, John T.; Caglayan, Mustafa - In: Southern Economic Journal 65 (1999) 4, pp. 900-913
We test for fractional dynamics in inflation rates based on the consumer price index (CPI) for 27 countries and inflation rates based on the wholesale price index (WPI) for 22 countries. The fractional differencing parameter is estimated using semiparametric and approximate maximum likelihood...