This note studies the persistence of CPI inflation for 12 OECD countries. The fraction order of integration is estimated through the wavelet-OLS estimator of Jensen (1999). The results show that CPI inflation is characterized by mean reversion in the long run with finite variance.
P. Zagaglia (2009). Fractional integration of inflation rates: a note. APPLIED ECONOMICS LETTERS, 16(11), 1103-1105 [10.1080/13504850701335384].
Fractional integration of inflation rates: a note
ZAGAGLIA, PAOLO
2009
Abstract
This note studies the persistence of CPI inflation for 12 OECD countries. The fraction order of integration is estimated through the wavelet-OLS estimator of Jensen (1999). The results show that CPI inflation is characterized by mean reversion in the long run with finite variance.File in questo prodotto:
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