Structural breaks and long memory in US inflation rates: Do they matter for forecasting?
There is substantial evidence that several economic time series variables experience occasional structural breaks. At the same time, for some of these variables there is evidence of long memory. In particular, it seems that inflation rates have both features. One cause for this finding may be that the two features are difficult to distinguish using currently available econometric tools. Indeed, various recent studies show that neglecting occasional breaks may lead to a spurious finding of...[Show more]
|Collections||ANU Research Publications|
|Source:||Research in International Business and Finance|
|01_Hyung_Structural_breaks_and_long_2006.pdf||192.21 kB||Adobe PDF||Request a copy|
Items in Open Research are protected by copyright, with all rights reserved, unless otherwise indicated.