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Seasonal nonlinear long memory model for the US inflation rates
Journal article   Peer reviewed

Seasonal nonlinear long memory model for the US inflation rates

Ahdi Noomen Ajmi, Adnen Ben Nasr and Mohamed Boutahar
Computational economics, Vol.31(3), pp.243-254
01/04/2008
DOI: https://doi.org/10.1007/s10614-007-9116-0

Abstract

Business & Economics Economics Management Mathematics Mathematics, Interdisciplinary Applications Physical Sciences Science & Technology Social Sciences
This paper studies whether to describe nonlinearity, seasonality and long memory simultaneously in US inflation rates. To this aim, we define a seasonal FISTAR (SEA-FISTAR) model as an extension of FISTAR model proposed by Van Dijk et al. (J Economet 102: 135 - 165, 2002). The results show that when combining these three features, the description of the inflation is improved and that seasonality changes smoothly with the regimes.

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