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A mean shift break in the US interest rate

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  • Gil-Alana, Luis A.

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  • Gil-Alana, Luis A., 2002. "A mean shift break in the US interest rate," Economics Letters, Elsevier, vol. 77(3), pages 357-363, November.
    • Handle: RePEc:eee:ecolet:v:77:y:2002:i:3:p:357-363
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    References listed on IDEAS

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    1. L. A. Gil‐Alana, 2001. "Testing Stochastic Cycles in Macroeconomic Time Series," Journal of Time Series Analysis, Wiley Blackwell, vol. 22(4), pages 411-430, July.
    2. Gil-Alana, Luis A., 2000. "Mean reversion in the real exchange rates," Economics Letters, Elsevier, vol. 69(3), pages 285-288, December.
    3. L. A. Gil-Alana & P. M. Robinson, 2001. "Testing of seasonal fractional integration in UK and Japanese consumption and income," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 16(2), pages 95-114.
    4. Diebold, Francis X. & Inoue, Atsushi, 2001. "Long memory and regime switching," Journal of Econometrics, Elsevier, vol. 105(1), pages 131-159, November.
    5. Crato, Nuno & Rothman, Philip, 1994. "Fractional integration analysis of long-run behavior for US macroeconomic time series," Economics Letters, Elsevier, vol. 45(3), pages 287-291.
    6. Gil-Alana, Luis A., 2004. "Modelling the U.S. interest rate in terms of I(d) statistical models," The Quarterly Review of Economics and Finance, Elsevier, vol. 44(4), pages 475-486, September.
    7. Diebold, Francis X. & Rudebusch, Glenn D., 1989. "Long memory and persistence in aggregate output," Journal of Monetary Economics, Elsevier, vol. 24(2), pages 189-209, September.
    8. Baillie, Richard T., 1996. "Long memory processes and fractional integration in econometrics," Journal of Econometrics, Elsevier, vol. 73(1), pages 5-59, July.
    9. Clive W.J. Granger & Namwon Hyung, 2013. "Occasional Structural Breaks and Long Memory," Annals of Economics and Finance, Society for AEF, vol. 14(2), pages 739-764, November.
    10. Gil-Alana, Luis A., 1999. "Testing fractional integration with monthly data," Economic Modelling, Elsevier, vol. 16(4), pages 613-629, December.
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    1. repec:fgv:epgrbe:v:65:n:3:a:4 is not listed on IDEAS
    2. Caporale, Guglielmo Maria & Gil-Alana, Luis A., 2017. "Persistence and cycles in the us federal funds rate," International Review of Financial Analysis, Elsevier, vol. 52(C), pages 1-8.
    3. da Silva, Cleomar Gomes & Leme, Maria Carolina da Silva, 2011. "An Analysis of the Degrees of Persistence of Inflation, Inflation Expectations and Real Interest Rate in Brazil," Revista Brasileira de Economia - RBE, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil), vol. 65(3), September.
    4. Cleomar Gomes da Silva & Flávio Vilela Vieira, 2014. "BRICS countries: real interest rates and long memory," Economics Bulletin, AccessEcon, vol. 34(1), pages 409-419.

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