Abstract

http://ssrn.com/abstract=2002488
 
 

References (68)



 
 

Citations (4)



 


 



Testing for Fractional Integration Versus Short Memory with Structural Breaks*


Laura Mayoral


Universitat Pompeu Fabra - Faculty of Economic and Business Sciences

April 2012

Oxford Bulletin of Economics and Statistics, Vol. 74, Issue 2, pp. 278-305, 2012

Abstract:     
Although it is commonly accepted that most macroeconomic variables are non‐stationary, it is often difficult to identify the source of the non‐stationarity. Integrated processes and short‐memory models with trending components, possibly affected by structural breaks, imply similar features in the data and, accordingly, are hard to distinguish. The goal of this article is to extend the classical testing framework of I(1) versus I(0) + trends and/or breaks by considering a more general class of models under the null hypothesis: fractionally integrated (FI) processes. The asymptotic properties of the proposed tests are derived and it is shown that they are very well‐behaved in finite samples. An illustration using US inflation data is also provided.

Number of Pages in PDF File: 28

JEL Classification: C22, C12

Accepted Paper Series


Date posted: February 10, 2012  

Suggested Citation

Mayoral, Laura, Testing for Fractional Integration Versus Short Memory with Structural Breaks* (April 2012). Oxford Bulletin of Economics and Statistics, Vol. 74, Issue 2, pp. 278-305, 2012. Available at SSRN: http://ssrn.com/abstract=2002488 or http://dx.doi.org/10.1111/j.1468-0084.2011.00645.x

Contact Information

Laura Mayoral (Contact Author)
Universitat Pompeu Fabra - Faculty of Economic and Business Sciences ( email )
Ramon Trias Fargas 25-27
Barcelona, 08005
Spain
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References:  68
Citations:  4

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