Barkoulas, John, Christopher Baum, and Gurkan Oguz. “Stochastic Long Memory in Traded Goods Prices”. Boston College Working Papers in Economics 349, 1997.
Using spectral regression and exact maximum likelihood methods, we test for long memory dynamics in the traded goods prices for the G7 countries, as measured in their import and export price indices. Significant and robust evidence of fractional dynamics with long memory features is found in both import and export price inflation rates.