A mean shift break in the US interest rate.

DOI10.1016/S0165-1765(02)00148-9zbMath1158.91465OpenAlexW2055193207MaRDI QIDQ1852937

Luis A. Gil-Alana

Publication date: 21 January 2003

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

Full work available at URL: https://doi.org/10.1016/s0165-1765(02)00148-9

zbMATH Keywords

Fractional integrationStructural breakInterest rates

Mathematics Subject Classification ID

Economic time series analysis (91B84) Fractional derivatives and integrals (26A33) Economic models of real-world systems (e.g., electricity markets, etc.) (91B74)

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