Stochastic Long Memory in Traded Goods Prices

John T. Barkoulas; Christopher F. Baum; Gurkan S. Oguz

Stochastic Long Memory in Traded Goods Prices

John T. Barkoulas, Christopher F. Baum, Gurkan S. Oguz

Finance

Research output: Contribution to journal › Article › peer-review

7 Scopus citations

Abstract

Using spectral regression and exact maximum likelihood methods, we test for long memory dynamics in the traded goods prices for the G7 countries, as measured in their import and export price indices. Significant and robust evidence of fractional dynamics with long memory features is found in both import and export price inflation rates.

Original language	American English
Journal	Applied Economics Letters
Volume	5
State	Published - 1998

Disciplines

Finance

Keywords

Stochastic long memory
Traded goods prices

Cite this

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title = "Stochastic Long Memory in Traded Goods Prices",

abstract = "Using spectral regression and exact maximum likelihood methods, we test for long memory dynamics in the traded goods prices for the G7 countries, as measured in their import and export price indices. Significant and robust evidence of fractional dynamics with long memory features is found in both import and export price inflation rates.",

keywords = "Stochastic long memory, Traded goods prices",

author = "Barkoulas, {John T.} and Baum, {Christopher F.} and Oguz, {Gurkan S.}",

year = "1998",

language = "American English",

volume = "5",

journal = "Applied Economics Letters",

issn = "1350-4851",

publisher = "Routledge",

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TY - JOUR

T1 - Stochastic Long Memory in Traded Goods Prices

AU - Barkoulas, John T.

AU - Baum, Christopher F.

AU - Oguz, Gurkan S.

PY - 1998

Y1 - 1998

N2 - Using spectral regression and exact maximum likelihood methods, we test for long memory dynamics in the traded goods prices for the G7 countries, as measured in their import and export price indices. Significant and robust evidence of fractional dynamics with long memory features is found in both import and export price inflation rates.

AB - Using spectral regression and exact maximum likelihood methods, we test for long memory dynamics in the traded goods prices for the G7 countries, as measured in their import and export price indices. Significant and robust evidence of fractional dynamics with long memory features is found in both import and export price inflation rates.

KW - Stochastic long memory

KW - Traded goods prices

UR - https://doi.org/10.1080/758521368

M3 - Article

SN - 1350-4851

VL - 5

JO - Applied Economics Letters

JF - Applied Economics Letters

ER -

Stochastic Long Memory in Traded Goods Prices

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