Estimating the Degree of Integration in CPI with ARFIMA-FIGARCH Model: Case study of Iran
Abstract The study of the effect of memory in different economic indices, especially inflation and money market, has high research attractiveness. In this paper, by using the data of consumer price index for Iran during 1990/04 – 2011/11, we investigate the characteristics of CPI’s long–run memory a...
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| Format: | Article |
| Language: | fas |
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Allameh Tabataba'i University Press
2014-03-01
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| Series: | Faslnāmah-i Pizhūhish/Nāmah-i Iqtisādī |
| Subjects: | |
| Online Access: | https://joer.atu.ac.ir/article_133_db7340fe3166e5788b68233edb0c3651.pdf |
| _version_ | 1797375646151737344 |
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| author | Hossein Abbasinejad Yazdan Gudarzi Farahani |
| author_facet | Hossein Abbasinejad Yazdan Gudarzi Farahani |
| author_sort | Hossein Abbasinejad |
| collection | DOAJ |
| description | Abstract The study of the effect of memory in different economic indices, especially inflation and money market, has high research attractiveness. In this paper, by using the data of consumer price index for Iran during 1990/04 – 2011/11, we investigate the characteristics of CPI’s long–run memory and regress its ARFIMA model. In addition, the amount of error terms in ARFIMA model are examined by FIGARCH model in order to determine what model the heteroscedasticity in inflation is following. The results indicate that monthly time series of inflation may have non-integer root. In other words, the degree of integration for inflation can be a non-integer number rather than an integer. To determine this, an Augmented Dikey-Fuller test, Philips–Prone test and KPSS are used and the results show that the degree of integration for inflation series should lie between zero and one. Thus, the hypothesis of inflation series with memory is proposed. By estimating the parameter of long run memory in the model it becomes evident that the inflation series has the degree of integration of 0.46 and one time differentiating leads to over-differentiation. Hence, inflation series has a long run memory in Iran and the effects of each shock on this variable exists for long periods. |
| first_indexed | 2024-03-08T19:27:25Z |
| format | Article |
| id | doaj.art-4ab45096ef904334b017f39f46e2d386 |
| institution | Directory Open Access Journal |
| issn | 1735-210X 2476-6453 |
| language | fas |
| last_indexed | 2024-03-08T19:27:25Z |
| publishDate | 2014-03-01 |
| publisher | Allameh Tabataba'i University Press |
| record_format | Article |
| series | Faslnāmah-i Pizhūhish/Nāmah-i Iqtisādī |
| spelling | doaj.art-4ab45096ef904334b017f39f46e2d3862023-12-26T07:58:28ZfasAllameh Tabataba'i University PressFaslnāmah-i Pizhūhish/Nāmah-i Iqtisādī1735-210X2476-64532014-03-011452261133Estimating the Degree of Integration in CPI with ARFIMA-FIGARCH Model: Case study of IranHossein Abbasinejad0Yazdan Gudarzi Farahani1استاد دانشکده اقتصاد دانشگاه تهراندانشجوی دکترای اقتصاد دانشگاه تهرانAbstract The study of the effect of memory in different economic indices, especially inflation and money market, has high research attractiveness. In this paper, by using the data of consumer price index for Iran during 1990/04 – 2011/11, we investigate the characteristics of CPI’s long–run memory and regress its ARFIMA model. In addition, the amount of error terms in ARFIMA model are examined by FIGARCH model in order to determine what model the heteroscedasticity in inflation is following. The results indicate that monthly time series of inflation may have non-integer root. In other words, the degree of integration for inflation can be a non-integer number rather than an integer. To determine this, an Augmented Dikey-Fuller test, Philips–Prone test and KPSS are used and the results show that the degree of integration for inflation series should lie between zero and one. Thus, the hypothesis of inflation series with memory is proposed. By estimating the parameter of long run memory in the model it becomes evident that the inflation series has the degree of integration of 0.46 and one time differentiating leads to over-differentiation. Hence, inflation series has a long run memory in Iran and the effects of each shock on this variable exists for long periods.https://joer.atu.ac.ir/article_133_db7340fe3166e5788b68233edb0c3651.pdfarfima- figarch modelinflationkpss testlong-run memory |
| spellingShingle | Hossein Abbasinejad Yazdan Gudarzi Farahani Estimating the Degree of Integration in CPI with ARFIMA-FIGARCH Model: Case study of Iran Faslnāmah-i Pizhūhish/Nāmah-i Iqtisādī arfima- figarch model inflation kpss test long-run memory |
| title | Estimating the Degree of Integration in CPI with ARFIMA-FIGARCH Model: Case study of Iran |
| title_full | Estimating the Degree of Integration in CPI with ARFIMA-FIGARCH Model: Case study of Iran |
| title_fullStr | Estimating the Degree of Integration in CPI with ARFIMA-FIGARCH Model: Case study of Iran |
| title_full_unstemmed | Estimating the Degree of Integration in CPI with ARFIMA-FIGARCH Model: Case study of Iran |
| title_short | Estimating the Degree of Integration in CPI with ARFIMA-FIGARCH Model: Case study of Iran |
| title_sort | estimating the degree of integration in cpi with arfima figarch model case study of iran |
| topic | arfima- figarch model inflation kpss test long-run memory |
| url | https://joer.atu.ac.ir/article_133_db7340fe3166e5788b68233edb0c3651.pdf |
| work_keys_str_mv | AT hosseinabbasinejad estimatingthedegreeofintegrationincpiwitharfimafigarchmodelcasestudyofiran AT yazdangudarzifarahani estimatingthedegreeofintegrationincpiwitharfimafigarchmodelcasestudyofiran |