Seasonal nonlinear long memory model for the US inflation rates

DOI10.1007/S10614-007-9116-0MaRDI QIDQ928152zbMATH OpenOpenAlexFDO

Authors Ahdi Noomen Ajmi, Adnen Ben Nasr, Mohamed Boutahar

Publication date 11 June 2008

Published in Computational Economics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10614-007-9116-0

zbMATH Keywords

Long memorySeasonalitySmooth transition autoregression

Mathematics Subject Classification ID

Economic time series analysis (91B84)

Recommendations

• Modelling U.S. monthly inflation in terms of a jointly seasonal and non-seasonal long memory process
• Nonlinear stochastic inflation modelling using SEASETARs.
• Estimating memory parameter in the US inflation rate
• On the effect of seasonal adjustment on the log-periodogram regression
• Long memory or structural changes: an empirical examination on inflation rates

Cites work

• A nonlinear long memory model, with an application to US unemployment.
• AN INTRODUCTION TO LONG-MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING
• Changes in seasonal patterns
• Fractional differencing
• scientific article; zbMATH DE number 976336 (Why is no real title available?)
• scientific article; zbMATH DE number 1168350 (Why is no real title available?)
• scientific article; zbMATH DE number 795280 (Why is no real title available?)
• Long memory processes and fractional integration in econometrics
• Semiparametric robust tests on seasonal or cyclical long memory time series
• SMOOTH TRANSITION AUTOREGRESSIVE MODELS — A SURVEY OF RECENT DEVELOPMENTS
• Specification, estimation, and evaluation of smooth transition autoregressive models
• Testing linearity against smooth transition autoregressive models
• Testing the adequacy of smooth transition autoregressive models
• The econometric analysis of seasonal time series. With a foreword by Thomas J. Sargent
• The effects of institutional and technological change and business cycle fluctuations on seasonal patterns in quarterly industrial production series
• Unemployment and Inflation Regimes

Cited in

(6)

• Nonlinear stochastic inflation modelling using SEASETARs.
• Estimating memory parameter in the US inflation rate
• Behaviour of skewness, kurtosis and normality tests in long memory data
• Fractionally integrated time varying GARCH model
• Long-memory modeling and forecasting: evidence from the U.S. historical series of inflation
• Modelling U.S. monthly inflation in terms of a jointly seasonal and non-seasonal long memory process

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