Seasonal Nonlinear Long Memory Model for the US Inflation Rates

  • Authors:

  • Ahdi Noomen Ajmi;Adnen Ben Nasr;Mohamed Boutahar

  • Affiliations:

  • Laboratoire BESTMOD, Institut Supérieur de Gestion de Tunis, Tunis, Tunisie 2000;Laboratoire BESTMOD, Institut Supérieur de Gestion de Tunis, Tunis, Tunisie 2000;GREQAM, Université de la Méditerranée, Marseille, France 13002

  • Venue:
  • Computational Economics
  • Year:
  • 2008

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Abstract

This paper studies whether to describe nonlinearity, seasonality and long memory simultaneously in US inflation rates. To this aim, we define a seasonal FISTAR (SEA-FISTAR) model as an extension of FISTAR model proposed by Van Dijk et al. (J Economet 102:135---165, 2002). The results show that when combining these three features, the description of the inflation is improved and that seasonality changes smoothly with the regimes.