Publicação
Inflation forecasting in Angola : a fractional approach
| Resumo: | This paper forecasts inflation in Angola with an ARFIMA (AutoRegressive Fractionally Integrated Moving Average) model. It is found that inflation in Angola is a highly persistent variable with an order of integration constrained between 0 and 1. Moreover, a structural break is found in August, 1996. Using the second sub-sample for forecasting purposes, the results reveal that inflation will remain low, assuming that prudent macroeconomic policies are maintained. |
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| Autores principais: | Barros, Carlos Pestana |
| Outros Autores: | Luis A., Gil-Alana |
| Assunto: | Inflation Long Memory Angola |
| Ano: | 2012 |
| País: | Portugal |
| Tipo de documento: | working paper |
| Tipo de acesso: | acesso aberto |
| Instituição associada: | Universidade de Lisboa |
| Idioma: | inglês |
| Origem: | Repositório da Universidade de Lisboa |
| Resumo: | This paper forecasts inflation in Angola with an ARFIMA (AutoRegressive Fractionally Integrated Moving Average) model. It is found that inflation in Angola is a highly persistent variable with an order of integration constrained between 0 and 1. Moreover, a structural break is found in August, 1996. Using the second sub-sample for forecasting purposes, the results reveal that inflation will remain low, assuming that prudent macroeconomic policies are maintained. |
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