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Cagans Equation with Fractionally Differenced Variables
An example of the ZTransform Method for the Solution
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a/var AIC SIC AFRIMA AIC and SIC AIC SIC MAX.LIK ARFIMA models ARFIMA(p,d,q Argentina Bolivia bubble process bubbles or sunspots Cagan's equation Chile chronic high inflation conf critique deficits detected Dickey-Fuller tests driving variable dynamics econometrician estimated existence of bubbles exogenous expectational equation extraneous influences fiscal regime Former Socialist Federal fractionally differenced fractionally integrated processes g/var Geweke and Porter-Hudak Hamilton and Whiteman Homogeneous Components hyperinflation hypothesis initial conditions integrated of degree International Monetary Fund intvl 0.15 ARFIMA Journal of Monetary JUOO lag operator linear Little sensitivity Monetary Economics monetary policy Money Supply ARFIMA Negligible sensitivity nonfundamental influences nonstationary OIS OIA order of integration parameters Peru presence of bubbles Price Level ARFIMA Rational Expectation Model Republic of Yugoslavia Sargent self-fulfilling expectations sensitivity to initial Series Analysis Series Model Socialist Federal Republic spectral density stationary stochastic process supply and price Table unit root Whiteman test z-transform method