Stochastic long memory in traded goods prices

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

doi:10.1080/758521368

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	English
Pages (from-to)	135-138
Number of pages	4
Journal	Applied Economics Letters
Volume	5
Issue number	3
DOIs	https://doi.org/10.1080/758521368
State	Published - Mar 1998

Scopus Subject Areas

Economics and Econometrics

Access to Document

10.1080/758521368

Cite this

@article{2cb2649fc769446098458cebc5c46060,

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.",

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

year = "1998",

month = mar,

doi = "10.1080/758521368",

language = "English",

volume = "5",

pages = "135--138",

journal = "Applied Economics Letters",

issn = "1350-4851",

publisher = "Routledge",

number = "3",

}

TY - JOUR

T1 - Stochastic long memory in traded goods prices

AU - Barkoulas, John T.

AU - Baum, Christopher F.

AU - Oguz, Gurkan S.

PY - 1998/3

Y1 - 1998/3

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.

U2 - 10.1080/758521368

DO - 10.1080/758521368

M3 - Article

SN - 1350-4851

VL - 5

SP - 135

EP - 138

JO - Applied Economics Letters

JF - Applied Economics Letters

IS - 3

ER -

Stochastic long memory in traded goods prices

Abstract

Scopus Subject Areas

Access to Document

Fingerprint

Cite this