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

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• dc.contributor.author Mayoral, Lauraca
• dc.contributor.other Universitat Pompeu Fabra. Departament d'Economia i Empresa
• dc.date.accessioned 2017-07-26T10:50:56Z
• dc.date.available 2017-07-26T10:50:56Z
• dc.date.issued 2005-10-01
• dc.date.modified 2017-07-23T02:10:30Z
• 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.format.mimetype application/pdfca
• dc.identifier https://econ-papers.upf.edu/ca/paper.php?id=956
• dc.identifier.uri http://hdl.handle.net/10230/920
• 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.accessRights info:eu-repo/semantics/openAccess
• dc.rights.uri http://creativecommons.org/licenses/by-nc-nd/3.0/es/
• dc.subject.keyword fractional integration
• dc.subject.keyword structural breaks
• dc.subject.keyword unit roots
• dc.subject.keyword trends
• dc.subject.keyword Operations Management
• dc.title Is the observed persistence spurious? A test for fractional integration versus short memory and structural breaksca
• dc.type info:eu-repo/semantics/workingPaper