Abstract This paper examines long-range dependence in the inflation rates of G7 countries by estimating their (fractional) order integration d over sample period January 1973—March 2020. The results indicate that series are very persistent, estimated value being equal to or higher than 1 all cases. Possible non-linearities form Chebyshev polynomials time ruled out. Endogenous break tests then c...

Recent evidence suggests that ignoring structural breaks in volatility financial asset returns can result overestimation of spillover among markets. This paper examines major US equity sectors (i.e. Financial, Technology, Energy, Health, Consumer and Industrial) with bivariate GARCH models utilizing daily data from April 2006 to March 2021 after adjusting for breaks. I find significantly less b...

The theme of instability or breaks in macroeconomic series has attracted considerable attention over the last several decades. There are a large number of tests for structural changes or the stability of parameters. We focus the review of unit-root tests, unit-root tests including possible structural breaks, and time-varying parameter literature. Unit-root tests, which concentrate on the studyi...

abstract. the purpose of the present article is to determine the effect of knowledge management on organizational agility through the use of structural equations modeling in auto-parts manufacturing companies. for this purpose, along with the review of concepts such as organizational agility and knowledge management, the dimensions and capabilities of knowledge management and organizational agi...

We propose a simple method of testing for parameter constancy in regression models that allow for coe¢ cients that vary smoothly over time. The model is related to Bierens and Martins (2009) but in our case we consider stationary processes. The procedure is shown to have good statistical properties. We revisited Hansen’s (2001) study of structural breaks in a AR(1) model of labor productivity i...