Abstract
This article examines monthly U.S. inflation rates by means of fractionally integrated time series techniques. We use a procedure of Robinson (J Am Statist Assoc 1994; 89:1420) that permits us to simultaneously test the degrees of integration at both the zero and the seasonal frequencies. The results show that long memory takes place at both frequencies, the orders of integration being in both cases higher than 0 but smaller than 0.5, implying stationarity but long memory behaviour. In addition, the root at the long run or zero frequency seems to play a much more important role than the seasonal one, with shocks affecting the latter component decaying faster than in the former case. Copyright © 2005 John Wiley & Sons, Ltd.
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