A periodic long-memory model for quarterly UK inflation

The authors consider an extension of the fractionally integrated ARIMA(0,d,0) model for quarterly UK Inflation, where they allow the fractional integration parameter d to vary with the season s. This periodic ARFIMA(0,d,0) model does not only provide an informative in-sample description, it may also be useful for out-of-sample forecasting. The main result is that the integration parameter in the first two quarters is significantly larger than that in the last two quarters.