Long Memory in Inflation Rates: Evidence from Select African Countries

Developing countries are often associated with high and persistent inflation. A clear understanding of the behavior of inflation is crucial in formulating economic stabilization policies. To this end, the present study investigates the issue of long memory in inflation rates for 21 African countries using the classical and the modified R/S statistics, as well as, the V/S test. The application of three different fractional integration procedures allows us to obtain consistent and robust results. The results from the R/S and the V/S tests indicate that inflation rates for the sample countries are short-term memory processes. These results suggest that shocks to inflation series have long-lasting effects. The author infer from the results that the inflation series are non-mean reverting in all the cases.