Modeling US historical time-series prices and inflation using alternative long-memory approaches

dc.contributor.authorCanarella, Giorgio
dc.contributor.authorGil-Alana, Luis A.
dc.contributor.authorGupta, Rangan
dc.contributor.authorMiller, Stephen M.
dc.date.accessioned2018-12-14T09:54:57Z
dc.date.issued2020-04
dc.description.abstractWe consider two important features of the historical US price data (1774–2015), namely the data’s persistence and cyclical structure. We first consider the persistence of the series and focus on standard long-memory models that incorporate a peak at the zero frequency. We examine different models with respect to the deterministic terms, including nonlinear deterministic trends of the Chebyshev form. Then, we investigate a more general model that includes both persistence and cyclicality of the series and, thus, includes two fractional integration parameters, one at the zero (long-run) frequency and the other at the nonzero (cyclical) frequency. We model the cyclical structure as a Gegenbauer process. This specification outperforms the standard long-memory specifications. We find that the order of integration at the zero frequency is about 0.5, and the one at the cyclical frequency is about 0.2 with cycles repeating approximately every 6 years, producing mean-reverting long-memory effects at both the zero and cyclical frequencies. Fitting the values to this model, however, we discover the presence of a break that, according to the methods employed, takes place at around 1940–1941. The results indicate the prevalence of the long-run or zero component with a much higher degree of persistence during the second post-1940–1941 subsample, suggesting important implications for monetary policy.en_ZA
dc.description.departmentEconomicsen_ZA
dc.description.embargo2019-11-27
dc.description.librarianhj2018en_ZA
dc.description.sponsorshipLuis A. Gil-Alana gratefully acknowledges financial support from the Ministerio de Economía y Competitividad (ECO2017-85503-R).en_ZA
dc.description.urihttp://link.springer.com/journal/181en_ZA
dc.identifier.citationCanarella, G., Gil-Alana, L.A., Gupta, R. et al. Modeling US historical time-series prices and inflation using alternative long-memory approaches. Empirical Economics 58, 1491–1511 (2020). https://doi.org/10.1007/s00181-018-1597-2.en_ZA
dc.identifier.issn0377-7332 (print)
dc.identifier.issn1435-8921 (online)
dc.identifier.other10.1007/s00181-018-1597-2
dc.identifier.urihttp://hdl.handle.net/2263/68107
dc.language.isoenen_ZA
dc.publisherSpringeren_ZA
dc.rights© Springer-Verlag GmbH Germany, part of Springer Nature 2018. The original publication is available at http://link.springer.comjournal/181.en_ZA
dc.subjectChebyshev polynomialsen_ZA
dc.subjectCyclicalityen_ZA
dc.subjectGegenbauer processesen_ZA
dc.subjectPersistenceen_ZA
dc.titleModeling US historical time-series prices and inflation using alternative long-memory approachesen_ZA
dc.typePostprint Articleen_ZA

Files

Original bundle

Now showing 1 - 1 of 1
Loading...
Thumbnail Image
Name:
Canarella_Modeling_2020.pdf
Size:
481.28 KB
Format:
Adobe Portable Document Format
Description:
Postprint Article

License bundle

Now showing 1 - 1 of 1
Loading...
Thumbnail Image
Name:
license.txt
Size:
1.75 KB
Format:
Item-specific license agreed upon to submission
Description: