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FI-BREAK MODEL OF US INFLATION RATE: LONG-MEMORY, LEVEL SHIFTS, OR BOTH?

형남원|Philop Hans Franses
한국경제학회 (The Korean Economic Association)|2006.06|The Korean Economic Review|제22권 제1호|pp. 83-97

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참고문헌

주제분류경제학

초록

Abstract

This paper presents a new time series model, called the FI-BREAK model, which is used to describe US inflation, and incorporates long memory and occasional level shifts at a priori unknown locations. It is demonstrated that, even in the presence of such level shifts, the long memory parameter of the FI-BREAK model can be estimated reasonably accurately. For US inflation, it is found that the proposed model's in-sample fit and out-of-sample forecasts are superior over those of single-feature models with long memory or level shifts.

참고문헌 (13)

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