MPRA Paper No. 22772, posted 13. May 2010 / 18:52Seasonal and Periodic Long Memory Models in the Inflation Rates
Bibliographic record
Abstract
This paper considers the application of long memory processes to describe inflation with seasonal behaviour. We use three different long memory models taking into account the seasonal pattern in the data. Namely, the ARFIMA model with deterministic seasonality, the ARFISMA model, and the periodic ARFIMA (PARFIMA) model. These models are used to describe the inflation rates of four different countries, USA, Canada, Tunisia, and South Africa. The analysis is carried out using the Sowell’s (1992) maximum likelihood techniques for estimating ARFIMA model and using the approximate maximum likelihood method for the estimation of the PARFIMA process. We implement a new procedure to obtain the maximum likelihood estimates of the ARFISMA model, in which dummies variables on additive outliers are included. The advantage of this parametric estimation method is that all parameters are estimated simultaneously in the time domain. For all countries, we find that estimates of differencing parameters are significantly different from zero. This is evidence in favour of long memory and suggests that persistence is a common feature for inflation series. Note that neglecting the existence of additive outliers may possibly biased estimates of the seasonal and periodic long memory models.
Fetched live from OpenAlex and de-inverted. Abstracts are not stored in this database: the inverted indexes are 8.6 GB of the frame’s 9.3 GB of text, and the host has 13 GB free.
How this classification was reachedexpand
Full frame distilled prediction
Teacher imitationNot calibrated prevalence, not ground truth. Human validation pending. Learned from the 10,348 direct Codex labels and 10,348 direct Gemma labels. Candidate is the union of thresholded teacher heads; consensus is their intersection. These outputs are machine_predicted_unvalidated and are not human labels or direct frontier model labels.
Codex and Gemma teacher scores by category
| Category | Codex | Gemma |
|---|---|---|
| Metaresearch | 0.000 | 0.000 |
| Meta-epidemiology (narrow) | 0.000 | 0.000 |
| Meta-epidemiology (broad) | 0.000 | 0.000 |
| Bibliometrics | 0.000 | 0.001 |
| Science and technology studies | 0.000 | 0.000 |
| Scholarly communication | 0.000 | 0.002 |
| Open science | 0.000 | 0.000 |
| Research integrity | 0.000 | 0.000 |
| Insufficient payload (model declined to judge) | 0.001 | 0.000 |
Machine scores (provisional)
The two teacher heads of the student model, read on this work. A score orders the frame for review; it never asserts a category, and the validation status ships verbatim with every row.
Baseline scores from an immature model (maturity gate not passed, 7 training rounds). Scores rank; they never assert a category.
score_only:v0-immature-baseline · verbatim from the scoring run: score_only means the number may rank works, and no category label ships from itClassification
machine, unvalidatedMachine predicted; a candidate call from one teacher head, not a consensus.
How this classification was reached, model by model and score by score, is at the end of the page under "How this classification was reached".