Abstract
This paper deals with the analysis of the persistence in the inflation rate in Argentina. For this purpose, we use fractionally integrated techniques based on monthly and annual data. The results show evidence of fractional integration and long memory behavior in both cases, being especially noticeable in the case of monthly data with shocks having long-lived effects.
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Notes
For a detailed description of both the source and the methodology used for the construction of the monthly series, see http://www.inflacionverdadera.com/argentina and, more precisely, http://www.mit.edu/~afc/papers/FillingTheGap_es.pdf.
See Robinson (1994).
These results, however, should be taken with caution. Note that the AIC and BIC may not necessarily be the best criteria for applications involving fractional differentiation since they concentrate on the short-term forecasting ability of the fitted models and do not take into account the long-run properties of the ARFIMA models (see, Hosking 1981; Beran et al. 1998; etc.).
As we check the robustness of our results, we obtained the estimates of d also for the monthly series converted into annualized rates (using the December-to-December year-over-year inflation rate). The estimated values of d were 0.583 (0.504, 0.697) under no autocorrelation, and 0.023 (− 0.116, 0.169), very similar to those reported in Table 2 with the annual data.
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Acknowledgements
Luis A. Gil-Alana gratefully acknowledges financial support from the Ministerio de Economía y Competitividad (ECO2017-85503-R). There are no ethical issues or conflicts of interest concerning this paper. Comments from the editor and two anonymous reviewers are gratefully acknowledged.
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Isoardi, M., Gil-Alana, L.A. Inflation in Argentina: Analysis of Persistence Using Fractional Integration. Eastern Econ J 45, 204–223 (2019). https://doi.org/10.1057/s41302-019-00133-8
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DOI: https://doi.org/10.1057/s41302-019-00133-8