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Analyzing South Africa’s inflation persistence using an ARFIMA model with Markov-switching fractional differencing parameter
16 references·0 citing·49 second hop
Analyzing South Africa’s inflation persistence using an ARFIMA model with Markov-switching fractional differencing parameter (2016)Analyzing South Africa’s inflation persis…Inflation and Inflation Expectations in S outh A frica: an Attempt at Explanation (2013)Inflation and Inflation Expec…INFLATION PERSISTENCE AND CORE INFLATION: THE CASE OF SOUTH AFRICA (2009)INFLATION PERSISTENCE AND COR…Fractional integration and structural breaks at unknown periods of time (2007)Fractional integration and st…Structural breaks and long memory in US inflation rates: Do they matter for forecasting? (2005)Structural breaks and long me…Persistence in Inflation: Does Aggregation Cause Long Memory? (2004)Persistence in Inflation: Doe…Structural breaks and their trace in the memory (2003)Structural breaks and their t…Regime-dependent impulse response functions in a Markov-switching vector autoregression model (2003)Regime-dependent impulse resp…PPP May not Hold Afterall: A Further Investigation (2002)PPP May not Hold Afterall: A …Inflation, forecast intervals and long memory regression models (2002)Inflation, forecast intervals…Further Long Memory Properties of Inflationary Shocks (2002)Further Long Memory Propertie…Persistence in International Inflation Rates (1999)Persistence in International …Long memory and level shifts: Re-analyzing inflation rates (1999)Long memory and level shifts:…Analysing inflation by the fractionally integrated ARFIMA-GARCH model (1996)Analysing inflation by the fr…Long Memory in Inflation Rates: International Evidence (1995)Long Memory in Inflation Rate…REGRESSION OF SPECTRAL ESTIMATORS WITH FRACTIONALLY INTEGRATED TIME SERIES (1993)REGRESSION OF SPECTRAL ESTIMA…Long-Memory Inflation Uncertainty: Evidence from the Term Structure of Interest Rates (1993)Long-Memory Inflation Uncerta…Time Series Analysis Forecasting and Control. (1971)AN INTRODUCTION TO LONG‐MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING (1980)THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS (1983)Long term dependence in stock returns (1996)NON-GAUSSIAN LOG-PERIODOGRAM REGRESSION (2000)ASYMPTOTICS FOR GENERAL FRACTIONALLY INTEGRATED PROCESSES WITH APPLICATIONS TO UNIT ROOT TESTS (2003)The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis (1989)Tests for Parameter Instability and Structural Change With Unknown Change Point (1993)A nonlinear long memory model, with an application to US unemployment (2002)Breaks and persistency: macroeconomic causes of stock market volatility (2005)On discriminating between long-range dependence and changes in mean (2006)Fractional Differencing (1981)A long memory property of stock market returns and a new model (1993)Long memory models for daily and high frequency commodity futures returns (2007)Long memory properties in return and volatility: Evidence from the Korean stock market (2007)Memory properties and fractional integration in transportation time-series (2009)Testing for a Unit Root in Time Series Regression (1988)Testing the null hypothesis of stationarity against the alternative of a unit root (1992)On the inflation-uncertainty hypothesis in the USA, Japan and the UK: a dual long memory approach (2004)PANEL COINTEGRATION: ASYMPTOTIC AND FINITE SAMPLE PROPERTIES OF POOLED TIME SERIES TESTS WITH AN APPLICATION TO THE PPP HYPOTHESIS (2004)Dynamics of Persistence in International Inflation Rates (2007)Fractional Integration and Cointegration: An Overview and an Empirical Application (2009)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Long memory processes and fractional integration in econometrics (1996)Modeling and pricing long memory in stock market volatility (1996)Likelihood‐based cointegration tests in heterogeneous panels (2001)Specification Tests in Econometrics (1978)Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)The Long Memory of the Efficient Market (2004)Some comments on Hurst exponent and the long memory processes on capital markets (2008)EXACT LOCAL WHITTLE ESTIMATION OF FRACTIONAL INTEGRATION WITH UNKNOWN MEAN AND TIME TREND (2009)Inflation dynamics: A structural econometric analysis (1999)State Space Models With a Common Stochastic Variance (2004)The Persistence of Inflation in OECD Countries: A Fractionally Integrated Approach (2007)Forecasting realized volatility with changing average levels (2015)Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis (1992)Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis (2002)Convergence in per capita energy use among OECD countries (2012)An Effective Approach to the Repeated Cross‐Sectional Design (2014)Persistence of policy shocks to an environmental degradation index: The case of ecological footprint in 128 developed and developing countries (2018)Macroeconomics and Reality (1980)A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)Impulse response analysis in nonlinear multivariate models (1996)Markets contagion during financial crisis: A regime-switching approach (2010)Financial regulation policy uncertainty and credit spreads in the US (2014)Regime switching model of US crude oil and stock market prices: 1859 to 2013 (2015)Multifractality in Asset Returns: Theory and Evidence (2002)
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References

  • 1996Analysing inflation by the fractionally integrated ARFIMA-GARCH model557 cited
  • 1995Long Memory in Inflation Rates: International Evidence315 cited
  • 2007Fractional integration and structural breaks at unknown periods of time251 cited
  • 2003Regime-dependent impulse response functions in a Markov-switching vector autoregression model188 cited
  • 1993Long-Memory Inflation Uncertainty: Evidence from the Term Structure of Interest Rates177 cited
  • 1999Persistence in International Inflation Rates125 cited
  • 1999Long memory and level shifts: Re-analyzing inflation rates121 cited
  • 1993REGRESSION OF SPECTRAL ESTIMATORS WITH FRACTIONALLY INTEGRATED TIME SERIES105 cited
  • 2002Inflation, forecast intervals and long memory regression models93 cited
  • 2002Further Long Memory Properties of Inflationary Shocks70 cited
  • 2013Inflation and Inflation Expectations in S outh A frica: an Attempt at Explanation55 cited
  • 2005Structural breaks and long memory in US inflation rates: Do they matter for forecasting?36 cited
  • 2009INFLATION PERSISTENCE AND CORE INFLATION: THE CASE OF SOUTH AFRICA32 cited
  • 2003Structural breaks and their trace in the memory30 cited
  • 2004Persistence in Inflation: Does Aggregation Cause Long Memory?

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27 cited
  • 2002PPP May not Hold Afterall: A Further Investigation23 cited
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