Longa Persistência Nas Taxas De Inflação

Abstract

The objective of this article is to show that the Brazilian inflation rates from January 1974 to June 1994 were generated by a fractionally integrated processo This process exhibits high persistency of shocks but does not have unit roots; these two characteristics can explain the apparently inconsistent behavior of the inflation pointed out by Cati, Garcia e Perron (1999). Assuming that the inflation rates could have been generated by an ARFIMA model, we estimate its order of integration by maximum likelihood and the regression method. The results obtained in both cases indicate that the inflation rates were generated by a long memory process.