 22
 Hosking, J. R. M. 1981. Fractional differencing.. 68:165176.
Total intext references: 2
 Intext reference with the coordinate start=2517
 Prefix

An explanation for this conflicting evidence was recently provided by
modeling inflation rates as fractionally integrated processes. Using
the fractional differencing model developed by Granger and Joyeux (1980),
 Exact

Hosking (1981), and
 Suffix

Geweke and PorterHudak (1983), Baillie, Chung, and
4
Tieslau (1996) find strong evidence of long memory in the inflation rates
for the Group of Seven (G7) countries (with the exception of Japan) and
those of three high inflation countries: Argentina, Brazil, and Israel.
 Intext reference with the coordinate start=6924
 Prefix

The stochastic process is both stationary
and invertible if all roots ofandlie outside the unit
circle and. The process is nonstationary for, as
7
t
\b( )( )
0505
jjd< :d :
it possesses infinite variance, i.e. see Granger and Joyeux (1980).
26
d;: d
k
k
k
d;:j
n
(0 0 5)= 0
()
Assuming thatand,
 Exact

Hosking (1981)
 Suffix

showed that the
correlation function, , of an ARFIMA process is proportional to
as. Consequently, the autocorrelations of the ARFIMA process
decay hyperbolically to zero asin contrast to the faster,
geometric decay of a stationary ARMA process.