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Structural breaks and long memory in US inflation rates: Do they matter for forecasting?

Hyung, Namwon; Franses, Philip Hans; Penm, Jack HW

Description

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]

CollectionsANU Research Publications
Date published: 2006
Type: Journal article
URI: http://hdl.handle.net/1885/19795
Source: Research in International Business and Finance
DOI: 10.1016/j.ribaf.2005.05.002

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