Long memory or structural changes: an empirical examination on inflation rates

DOI10.1016/J.ECONLET.2005.02.017zbMath1254.91665OpenAlexW2005368120MaRDI QIDQ1927900

Chih-Chiang Hsu

Publication date: 2 January 2013

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.econlet.2005.02.017

zbMATH Keywords

long memorychange pointlocal whittle estimation

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84) Statistical methods; economic indices and measures (91B82)

Related Items (7)

When long memory meets the Kalman filter: a comparative study ⋮ Estimation methods for the LRD parameter under a change in the mean ⋮ Bootstrapping regression models with locally stationary disturbances ⋮ Distinguishing between breaks in the mean and breaks in persistence under long memory ⋮ An Empirical Strategy to Detect Spurious Effects in Long Memory and Occasional-Break Processes ⋮ A simple test on structural change in long-memory time series ⋮ Testing structural breaks versus long memory with the Box-Pierce statistics: a Monte Carlo study

Cites Work

• The multiple change-points problem for the spectral distribution
• Gaussian semiparametric estimation of long range dependence
• Robust Automatic Bandwidth for Long Memory
• Least‐squares Estimation of an Unknown Number of Shifts in a Time Series

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