Structural breaks and fractional integration in the US output and unemployment rate.

DOI10.1016/S0165-1765(02)00106-4zbMath1168.91494OpenAlexW2034275674MaRDI QIDQ1614820

Luis A. Gil-Alana

Publication date: 9 September 2002

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

Full work available at URL: https://doi.org/10.1016/s0165-1765(02)00106-4

zbMATH Keywords

Structural breaksLong memoryFractional integration

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Economic time series analysis (91B84) Statistical methods; economic indices and measures (91B82)

Related Items (2)

A CUSUM test for a long memory heterogeneous autoregressive model ⋮ A CUSUMSQ test for structural breaks in error variance for a long memory heterogeneous autoregressive model

Cites Work

• Testing of unit root and other nonstationary hypotheses in macroeconomic time series
• Mean reversion in the real exchange rates
• Testing Stochastic Cycles in Macroeconomic Time Series
• Efficient Tests of Nonstationary Hypotheses
• The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis
• Long memory and regime switching

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