Forecasting autoregressive time series under changing persistenceCreation-Date: 20100701
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References listed on IDEAS
- Gerard O'Reilly & Karl Whelan, 2005.
"Has Euro-Area Inflation Persistence Changed Over Time?,"
The Review of Economics and Statistics, MIT Press, vol. 87(4), pages 709-720, November.
- Gerard O'Reilly & Karl Whelan, 2004. "Has Euro-area inflation persistence changed over time?," Open Access publications 10197/251, School of Economics, University College Dublin.
- O'Reilly, Gerard & Whelan, Karl, 2004. "Has euro-area inflation persistence changed over time?," Working Paper Series 335, European Central Bank.
- Gerard O'Reilly & Karl Whelan, 2005. "Has Euro-area inflation persistence changed over time?," Open Access publications 10197/211, School of Economics, University College Dublin.
- O'Reilly,Gerard & Whelan, Karl, 2004. "Has Euro-Area Inflation Persistence Changed Over Time?," Research Technical Papers 4/RT/04, Central Bank of Ireland.
- Stephen Leybourne & Robert Taylor & Tae‐Hwan Kim, 2007. "CUSUM of Squares‐Based Tests for a Change in Persistence," Journal of Time Series Analysis, Wiley Blackwell, vol. 28(3), pages 408-433, May.
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Cited by:
- Giorgio Canarella & Rangan Gupta & Stephen M. Miller & Stephen K. Pollard, 2019.
"Unemployment rate hysteresis and the great recession: exploring the metropolitan evidence,"
Empirical Economics, Springer, vol. 56(1), pages 61-79, January.
- Giorgio Canarella & Stephen M. Miller & Stephen K. Pollard, 2013. "Unemployment Rate Hysteresis and the Great Recession: Exploring the Metropolitan Evidence," Working papers 2013-19, University of Connecticut, Department of Economics.
- Giorgio Canarella & Rangan Gupta & Stephen M. Miller & Stephen K. Pollard, 2017. "Unemployment Rate Hysteresis and the Great Recession: Exploring the Metropolitan Evidence," Working Papers 201740, University of Pretoria, Department of Economics.
- Giorgio Canarella & Stephen M. Miller & Stephen K. Pollard, 2014. "Unemployment Rate Hysteresis and the Great Recession: Exploring the Metropolitan Evidence," Working Papers 1403, University of Nevada, Las Vegas , Department of Economics.
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More about this item
Keywords
Forecasting; changing persistence; structural break; pre-testing; breakpoint estimation; bias-correction;All these keywords.
JEL classification:
- C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
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