Testing for persistence change in fractionally integrated models: an application to world inflation rates

DOI10.1016/j.csda.2012.07.021zbMath1506.62126OpenAlexW2016216763MaRDI QIDQ1623546

Luis F. Martins, Paulo M. M. Rodrigues

Publication date: 23 November 2018

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://www.bportugal.pt/sites/default/files/anexos/papers/wp201030.pdf

zbMATH Keywords

inflationfractional integrationnonstationaritypersistence changeLM tests

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Computational methods for problems pertaining to statistics (62-08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: hypothesis testing (62M07)

Related Items

Sieve bootstrap monitoring for change from short to long memory ⋮ Changes in persistence, spurious regressions and the Fisher hypothesis ⋮ Distinguishing between breaks in the mean and breaks in persistence under long memory ⋮ Estimating multiple breaks in mean sequentially with fractionally integrated errors ⋮ Semiparametric Detection of Changes in Long Range Dependence

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