Is the observed persistence spurious? A test for fractional integration versus short memory and structural breaks

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Mayoral, Laura. Is the observed persistence spurious? A test for fractional integration versus short memory and structural breaks. 2005
http://hdl.handle.net/10230/920
To cite or link this document: http://hdl.handle.net/10230/920
dc.contributor.author Mayoral, Laura
dc.contributor.other Universitat Pompeu Fabra. Departament d'Economia i Empresa
dc.date.issued 2005-10-01
dc.identifier.uri http://hdl.handle.net/10230/920
dc.description.abstract Although it is commonly accepted that most macroeconomic variables are nonstationary, it is often difficult to identify the source of the non-stationarity. In particular, it is well-known that integrated and short memory models containing trending components that may display sudden changes in their parameters share some statistical properties that make their identification a hard task. The goal of this paper is to extend the classical testing framework for I(1) versus I(0)+ breaks by considering a a more general class of models under the null hypothesis: non-stationary fractionally integrated (FI) processes. A similar identification problem holds in this broader setting which is shown to be a relevant issue from both a statistical and an economic perspective. The proposed test is developed in the time domain and is very simple to compute. The asymptotic properties of the new technique are derived and it is shown by simulation that it is very well-behaved in finite samples. To illustrate the usefulness of the proposed technique, an application using inflation data is also provided.
dc.language.iso eng
dc.relation.ispartofseries Economics and Business Working Papers Series; 956
dc.rights L'accés als continguts d'aquest document queda condicionat a l'acceptació de les condicions d'ús establertes per la següent llicència Creative Commons
dc.rights.uri http://creativecommons.org/licenses/by-nc-nd/3.0/es/
dc.title Is the observed persistence spurious? A test for fractional integration versus short memory and structural breaks
dc.type info:eu-repo/semantics/workingPaper
dc.date.modified 2014-06-03T07:14:17Z
dc.subject.keyword Operations Management
dc.subject.keyword fractional integration
dc.subject.keyword structural breaks
dc.subject.keyword unit roots
dc.subject.keyword trends
dc.rights.accessRights info:eu-repo/semantics/openAccess


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