We examine monthly inflation rates of five industrial countries. The application of tests against stationarity as well as tests against a unit root yield contradictory results. Thus fractional integration allowing for long memory is a plausible model. We discuss and apply the periodogram regression to estimate the difference parameters. For all countries we find estimates significantly different from 1 as well as from 0. This is evidence in favor of long memory. Specification tests and maximum likelihood estimates support the fitted models. Finally, we relate our empirical results to the construction of the data.
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Hassler et al. (1995) studied this question.
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