Long Memory Processes and Chronic Inflation : Detecting Homogeneous Components in a Linear Rational Expectation Model

Detecting Homogeneous Components in a Linear Rational Expectation Model

Long Memory Processes and Chronic Inflation : Detecting Homogeneous Components in a Linear Rational Expectation Model
This paper is an empirical study of the links between monetary variables and inflation based on Cagan's equation and its rational expectations solution, when the forcing variable is a fractionally integrated process. As demonstrated by Hamilton and Whiteman, the existence of bubbles and other extraneous influences can be detected only by... READ MORE...

Publication date: January 1994
ISBN 9781451841695
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