Abstract
This paper studies whether to describe nonlinearity, seasonality and long memory simultaneously in US inflation rates. To this aim, we define a seasonal FISTAR (SEA-FISTAR) model as an extension of FISTAR model proposed by Van Dijk et al. (J Economet 102:135---165, 2002). The results show that when combining these three features, the description of the inflation is improved and that seasonality changes smoothly with the regimes.
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