Inflation forecasting in Angola : a fractional approach

Barros, Carlos Pestana; Luis A., Gil-Alana

http://hdl.handle.net/10400.5/24289

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Authors

Barros, Carlos Pestana

Luis A., Gil-Alana

Abstract(s)

This paper forecasts inflation in Angola with an ARFIMA (AutoRegressive Fractionally Integrated Moving Average) model. It is found that inflation in Angola is a highly persistent variable with an order of integration constrained between 0 and 1. Moreover, a structural break is found in August, 1996. Using the second sub-sample for forecasting purposes, the results reveal that inflation will remain low, assuming that prudent macroeconomic policies are maintained.

Keywords

Inflation Long Memory Angola

URI

http://hdl.handle.net/10400.5/24289

Citation

Barros, Carlos Pestana e Luis A. Gil-Alana. 2012. “Inflation forecasting in Angola : a fractional approach” . Instituto Superior de Economia e Gestão. CEsA – Documentos de Trabalho nº 103/ 2012 .