LONG MEMORY IN INFLATION RATES - INTERNATIONAL EVIDENCE

We examine monthly inflation rates of five industrial countries. The a pplication of tests against stationarity as well as tests against a un it root yield contradictory results. Thus fractional integration allow ing for long memory is a plausible model. We discuss and apply the per iodogram regression to estimate the difference parameters. For all cou ntries we find estimates significantly different from 1 as well as fro m 0. This is evidence in favor of long memory. Specification tests and maximum likelihood estimates support the fitted models. Finally, we r elate our empirical results to the construction of the data.