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Estimating memory parameter in the US inflation rate. (English) Zbl 1254.91673
Summary: We propose a new methodology using wavelet transformation to estimate the memory parameter in the US monthly inflation rate. Our results show that the series follows non-stationary process, which is not statistically different from \(I(1)\) process.

91B84 Economic time series analysis
62M10 Time series, auto-correlation, regression, etc. in statistics (GARCH)
91B82 Statistical methods; economic indices and measures
62P20 Applications of statistics to economics
Full Text: DOI
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