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FRACTIONAL INTEGRATION AT ZERO AND THE CYCLICAL FREQUENCIES IN THE SPECIFICATION OF US PRICES
https://doi.org/10.1142/S0217590805001950Cited by:0 (Source: Crossref)
Abstract
In this paper we show that US prices can be specified in terms of a time series model that contains roots simultaneously at zero and the cyclical frequencies. Using a general procedure for testing this type of hypothesis, the results show that the secular component in the US prices is nonstationary, with an order of integration ranging between 0.7 and 1.4. However, the cyclical part seems to be stationary, with the order of integration fluctuating around 0. This implies that shocks affecting the long run component will be highly persistent, while those affecting the cyclical part will disappear quickly.
