Long memory and changing persistence
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DOI: 10.1016/j.econlet.2011.10.026
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- Kruse, Robinson & Sibbertsen, Philipp, 2010. "Long memory and changing persistence," Hannover Economic Papers (HEP) dp-455, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
- Robinson Kruse & Philipp Sibbertsen, 2010. "Long memory and changing persistence," CREATES Research Papers 2010-42, Department of Economics and Business Economics, Aarhus University.
References listed on IDEAS
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- Philipp Sibbertsen & Juliane Willert, 2012.
"Testing for a break in persistence under long-range dependencies and mean shifts,"
Statistical Papers, Springer, vol. 53(2), pages 357-370, May.
- Sibbertsen, Philipp & Willert, Juliane, 2009. "Testing for a break in persistence under long-range dependencies and mean shifts," Hannover Economic Papers (HEP) dp-422, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
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Citations
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Cited by:
- Kruse Robinson & Ventosa-Santaulària Daniel & Noriega Antonio E., 2017.
"Changes in persistence, spurious regressions and the Fisher hypothesis,"
Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 21(3), pages 1-28, June.
- Robinson Kruse & Daniel Ventosa-Santaulària & Antonio E. Noriega, 2013. "Changes in persistence, spurious regressions and the Fisher hypothesis," CREATES Research Papers 2013-11, Department of Economics and Business Economics, Aarhus University.
- repec:hum:wpaper:sfb649dp2012-022 is not listed on IDEAS
- Strohsal, Till & Winkelmann, Lars, 2012. "Assessing the anchoring of inflation expectations," SFB 649 Discussion Papers 2012-022, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
- Chen, Zhanshou & Xing, Yuhong & Li, Fuxiao, 2016. "Sieve bootstrap monitoring for change from short to long memory," Economics Letters, Elsevier, vol. 140(C), pages 53-56.
- Canarella, Giorgio & Miller, Stephen M., 2017. "Inflation targeting and inflation persistence: New evidence from fractional integration and cointegration," Journal of Economics and Business, Elsevier, vol. 92(C), pages 45-62.
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More about this item
Keywords
Long memory; Changing persistence; Structural break; Semi-parametric estimation;All these keywords.
JEL classification:
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
Statistics
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