Seasonal Nonlinear Long Memory Model for the US Inflation Rates.

This paper studies whether to describe nonlinearity, seasonality and long memory simultaneously in US inflation rates. To this aim, we define a seasonal FISTAR (SEA-FISTAR) model as an extension of FISTAR model proposed by Van Dijk et al. (J Economet 102:135–165, 2002). The results show that when combining these three features, the description of the inflation is improved and that seasonality changes smoothly with the regimes. [ABSTRACT FROM AUTHOR]