Testing for Fractional Integration Versus Short Memory with Structural Breaks*
نویسندگان
چکیده
منابع مشابه
Testing for Fractional integration versus short memory with trends and structural breaks
Although it is commonly accepted that most macroeconomic variables are nonstationary, it is often difficult to identify the source of the nonstationarity. As is well-known, integrated processes and short memory models with trending components, possibly affected by structural breaks, imply similar features in the data and, accordingly, are hard to distinguish. The goal of this paper is to extend...
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Although it is commonly accepted that most macroeconomic variables are nonstationary, it is often difficult to identify the source of the non-stationarity. In particular, it is well-known that integrated and short memory models containing trending components that may display sudden changes in their parameters share some statistical properties that make their identification a hard task. The goal...
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ژورنال
عنوان ژورنال: Oxford Bulletin of Economics and Statistics
سال: 2011
ISSN: 0305-9049
DOI: 10.1111/j.1468-0084.2011.00645.x