Unit and Fraccional Roots in the Presence of Abrupt Changes with an Application to Brazilian Inflation Rate

• Autores: Luis Alberiko Gil Alaña
• Localización: Working Papers ( Universidad de Navarra. Facultad de Ciencias Económicas y Empresariales ), Nº. 19, 2005
• Idioma: inglés
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• Resumen

  • In this article we analyse the monthly structure of the Brazilian inflation rate by means of using fractionally integrated techniques. This series is characterized by strong government interventions to bring inflation to a low level. We use a testing procedure due to Robinson (1994) which permits us to model the underlying dynamics of the series in terms of an I(d) statistical model, with the government interventions being specified in terms of dummy variables. The results show that the series can be well described in terms of an I(0.75) process with some of the interventions having little impact on the series.