Seasonal nonlinear long memory model for the US inflation rates

被引：8

作者：

Ajmi, Ahdi Noomen ^{[1
]}

Ben Nasr, Adnen ^{[1
]}

Boutahar, Mohamed ^{[2
]}

机构：

[1] Inst Super Gest Tunis, Lab BESTMOD, Tunis 2000, Tunisia

[2] Univ Mediterranee, GREQAM, Ctr Vieille Charite, F-13002 Marseille, France

来源：

COMPUTATIONAL ECONOMICS | 2008年 / 31卷 / 03期

关键词：

long memory; seasonality; smooth transition autoregression;

D O I：

10.1007/s10614-007-9116-0

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

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.

引用

页码：243 / 254

页数：12

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