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

Mayoral, Laura (contributor) - 2006

Persistent link: https://www.econbiz.de/10003331953

Minimum distance estimation of stationary and non-stationary ARFIMA processes

Mayoral, Laura (contributor) - 2006

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Minimum distance estimation of stationary and non-stationary ARFIMA processes

Mayoral, Laura - In: The econometrics journal 10 (2007) 1, pp. 124-148

Persistent link: https://www.econbiz.de/10003451751

Testing for fractional integration versus short memory with structural breaks

Mayoral, Laura - In: Oxford bulletin of economics and statistics 74 (2012) 2, pp. 278-305

Persistent link: https://www.econbiz.de/10009526715

Testing I (1) against I (d) alternatives in the presence of deterministic components

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Simple wald tests of the fractional integration parameter : an overview of new results

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Is the Observed Persistence Spurious? A Test for Fractional Integration Versus Short Memory and Structural Breaks

Mayoral, Laura - 2007

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...

Persistent link: https://www.econbiz.de/10012729617