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Inflation Forecasting in Angola: A Fractional Approach
Author(s) -
Barros Carlos P.,
GilAlana Luis A.
Publication year - 2013
Publication title -
african development review
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.654
H-Index - 32
eISSN - 1467-8268
pISSN - 1017-6772
DOI - 10.1111/j.1467-8268.2013.12016.x
Subject(s) - autoregressive fractionally integrated moving average , inflation (cosmology) , economics , econometrics , autoregressive model , order (exchange) , variable (mathematics) , long memory , mathematics , finance , volatility (finance) , mathematical analysis , physics , theoretical physics
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 subsample for forecasting purposes, the results reveal that inflation will remain low, assuming that prudent macroeconomic policies are maintained.