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.
Fractional integration of inflation rates: a note / P. Zagaglia. - In: APPLIED ECONOMICS LETTERS. - ISSN 1350-4851. - STAMPA. - 16:11(2009), pp. 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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