IDEAS home Printed from https://ideas.repec.org/p/pra/mprapa/78977.html
   My bibliography  Save this paper

Expense items: test on items generating inflation

Author

Listed:
  • Hassen, Ben Naceur

Abstract

This study aims to spot the inflation – generating expenses. The expenses items are represented by series of prices statistical indexes. We are going to determine the series of gaps on these prices indexes. We will afterwards study the data- generating process in the context of the ARCH model and the V-GARCH model. We will find out the following items (food, clothes and transports) as inflation- generating items.

Suggested Citation

  • Hassen, Ben Naceur, 2014. "Expense items: test on items generating inflation," MPRA Paper 78977, University Library of Munich, Germany.
    • Handle: RePEc:pra:mprapa:78977
    as

    Download full text from publisher

    File URL: https://mpra.ub.uni-muenchen.de/78977/1/MPRA_paper_78977.pdf
    File Function: original version
    Download Restriction: no
    ---><---

    References listed on IDEAS

    as
    1. Bakhshi, Hasan, 2002. "Inflation and relative price variability," Economics Letters, Elsevier, vol. 76(1), pages 27-33, June.
    2. Bernard, Andrew B. & Durlauf, Steven N., 1996. "Interpreting tests of the convergence hypothesis," Journal of Econometrics, Elsevier, vol. 71(1-2), pages 161-173.
    3. Jean-Pierre Florens & Vêlayoudom Marimoutou & Anne Peguin-Feissolle, 2004. "Econométrie - Modélisation et inférence," Post-Print halshs-00595336, HAL.
    4. Bollerslev, Tim, 1986. "Generalized autoregressive conditional heteroskedasticity," Journal of Econometrics, Elsevier, vol. 31(3), pages 307-327, April.
    5. Engle, Robert F, 1982. "Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation," Econometrica, Econometric Society, vol. 50(4), pages 987-1007, July.
    6. Basrak, Bojan & Davis, Richard A. & Mikosch, Thomas, 2002. "Regular variation of GARCH processes," Stochastic Processes and their Applications, Elsevier, vol. 99(1), pages 95-115, May.
    7. David Fielding & Paul Mizen, 2000. "Relative Price Variability and Inflation in Europe," Economica, London School of Economics and Political Science, vol. 67(265), pages 57-78, February.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Ding, Jing & Jiang, Lei & Liu, Xiaohui & Peng, Liang, 2023. "Nonparametric tests for market timing ability using daily mutual fund returns," Journal of Economic Dynamics and Control, Elsevier, vol. 150(C).
    2. Francq, Christian & Zakoian, Jean-Michel, 2024. "Finite moments testing in a general class of nonlinear time series models," MPRA Paper 121193, University Library of Munich, Germany.
    3. Aknouche, Abdelhakim & Demmouche, Nacer & Touche, Nassim, 2018. "Bayesian MCMC analysis of periodic asymmetric power GARCH models," MPRA Paper 91136, University Library of Munich, Germany.
    4. Zhu, Ke & Ling, Shiqing, 2013. "Global self-weighted and local quasi-maximum exponential likelihood estimators for ARMA-GARCH/IGARCH models," MPRA Paper 51509, University Library of Munich, Germany.
    5. Meitz, Mika & Saikkonen, Pentti, 2008. "Ergodicity, Mixing, And Existence Of Moments Of A Class Of Markov Models With Applications To Garch And Acd Models," Econometric Theory, Cambridge University Press, vol. 24(5), pages 1291-1320, October.
    6. Pan, Jiazhu & Wang, Hui & Tong, Howell, 2008. "Estimation and tests for power-transformed and threshold GARCH models," Journal of Econometrics, Elsevier, vol. 142(1), pages 352-378, January.
    7. Peter M Robinson & Paolo Zaffaroni, 2005. "Pseudo-Maximum Likelihood Estimation of ARCH(8) Models," STICERD - Econometrics Paper Series 495, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
    8. Inoua, Sabiou M. & Smith, Vernon L., 2023. "A classical model of speculative asset price dynamics," Journal of Behavioral and Experimental Finance, Elsevier, vol. 37(C).
    9. Robinson, Peter M. & Zaffaroni, Paolo, 2005. "Pseudo-maximum likelihood estimation of ARCH(∞) models," LSE Research Online Documents on Economics 58182, London School of Economics and Political Science, LSE Library.
    10. Olivier Wintenberger, 2013. "Continuous Invertibility and Stable QML Estimation of the EGARCH(1,1) Model," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 40(4), pages 846-867, December.
    11. Saidi, Youssef & Zakoian, Jean-Michel, 2006. "Stationarity and geometric ergodicity of a class of nonlinear ARCH models," MPRA Paper 61988, University Library of Munich, Germany, revised 2006.
    12. Paul Glasserman & Qi Wu, 2017. "Persistence and Procyclicality in Margin Requirements," Working Papers 17-01, Office of Financial Research, US Department of the Treasury.
    13. F. Laurini & J. A. Tawn, 2006. "The extremal index for GARCH(1,1) processes with t-distributed innovations," Economics Department Working Papers 2006-SE01, Department of Economics, Parma University (Italy).
    14. Taewook Lee & Moosup Kim & Changryong Baek, 2015. "Tests for Volatility Shifts in Garch Against Long-Range Dependence," Journal of Time Series Analysis, Wiley Blackwell, vol. 36(2), pages 127-153, March.
    15. Boussama, Farid & Fuchs, Florian & Stelzer, Robert, 2011. "Stationarity and geometric ergodicity of BEKK multivariate GARCH models," Stochastic Processes and their Applications, Elsevier, vol. 121(10), pages 2331-2360, October.
    16. Chandra, S. Ajay, 2009. "Testing the equality of error distributions from k independent GARCH models," Journal of Multivariate Analysis, Elsevier, vol. 100(6), pages 1245-1260, July.
    17. Ben Naceur, Hassen, 2014. "Stock Market Indexes: A random walk test with ARCH (q) disturbances," MPRA Paper 78978, University Library of Munich, Germany.
    18. Todd Prono, 2016. "Closed-Form Estimation of Finite-Order ARCH Models: Asymptotic Theory and Finite-Sample Performance," Finance and Economics Discussion Series 2016-083, Board of Governors of the Federal Reserve System (U.S.).
    19. Robinson, Peter M. & Zafaroni, Paolo, 2005. "Pseudo-maximum likelihood estimation of ARCH models," LSE Research Online Documents on Economics 4544, London School of Economics and Political Science, LSE Library.
    20. Davis, Richard A. & Mikosch, Thomas & Zhao, Yuwei, 2013. "Measures of serial extremal dependence and their estimation," Stochastic Processes and their Applications, Elsevier, vol. 123(7), pages 2575-2602.

    More about this item

    Keywords

    White noise; ARCH model; V-GARCH process; generator; inflation; statistical index;
    All these keywords.

    JEL classification:

    • C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General
    • E6 - Macroeconomics and Monetary Economics - - Macroeconomic Policy, Macroeconomic Aspects of Public Finance, and General Outlook

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:pra:mprapa:78977. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Joachim Winter (email available below). General contact details of provider: https://edirc.repec.org/data/vfmunde.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.