A mean shift break in the US interest rate.
From MaRDI portal
Publication:1852937
DOI10.1016/S0165-1765(02)00148-9zbMath1158.91465MaRDI QIDQ1852937
Publication date: 21 January 2003
Published in: Economics Letters (Search for Journal in Brave)
91B84: Economic time series analysis
26A33: Fractional derivatives and integrals
91B74: Economic models of real-world systems (e.g., electricity markets, etc.)
Cites Work
- Fractional integration analysis of long-run behavior for US macroeconomic time series
- Testing of unit root and other nonstationary hypotheses in macroeconomic time series
- Mean reversion in the real exchange rates
- Long memory processes and fractional integration in econometrics
- Testing Stochastic Cycles in Macroeconomic Time Series
- Efficient Tests of Nonstationary Hypotheses
- Long memory and regime switching