This article estimates a fractional integration model with nonlinear deterministic trends for the inflation rates of five African countries. The results indicate that nonlinearities are present in the case of Angola and Lesotho, but not in the case of Botswana, Namibia and South Africa. Moreover, the degrees of differentiation are higher in the latter group of countries.
Modelling African inflation rates. Non-linear deterministic trends and long range dependence
Luis Alberiko Gil-Alaña
Guglielmo Maria Caporale
Applied Economics Letters Vol. 22, No. 5