Estimating memory parameter in the US inflation rate

Jin Lee

doi:10.1016/j.econlet.2004.11.004

Estimating memory parameter in the US inflation rate

Jin Lee

Department of Economics

Research output: Contribution to journal › Article › peer-review

16 Scopus citations

Abstract

We propose a new methodology using wavelet transformation to estimate the memory parameter in the US monthly inflation rate. Our results show that the series follows non-stationary process, which is not statistically different from I(1) process.

Original language	English
Pages (from-to)	207-210
Number of pages	4
Journal	Economics Letters
Volume	87
Issue number	2
DOIs	https://doi.org/10.1016/j.econlet.2004.11.004
State	Published - May 2005

Keywords

Long memory process
Wavelets

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10.1016/j.econlet.2004.11.004

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title = "Estimating memory parameter in the US inflation rate",

abstract = "We propose a new methodology using wavelet transformation to estimate the memory parameter in the US monthly inflation rate. Our results show that the series follows non-stationary process, which is not statistically different from I(1) process.",

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Estimating memory parameter in the US inflation rate

Abstract

Keywords

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