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Fractional Integration and Structural Breaks in U.S. Macro Dynamics

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  • Luis A. Gil-Alana

    () (Facultad de Ciencias Económicas y Empresariales, Universidad de Navarra)

  • Antonio Moreno

    () (Facultad de Ciencias Económicas y Empresariales, Universidad de Navarra)

Abstract

This paper identifies structural breaks in the post-World War II joint dynamics of U.S. inflation, unemployment and the short-term interest rate. We derive a structural break-date procedure which allows for long-memory behavior in all three series and perform the analysis for alternative data frequencies. Both long-memory and short-run coefficients are relevant for characterizing the changing patterns of U.S. macroeconomic dynamics. We provide an economic interpretation of those changes by examining the link between macroeconomic events and structural breaks.

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File URL: http://www.unav.es/facultad/econom/files/workingpapersmodule/@random497080f7805d2/1233309644_WP_UNAV_02_09.pdf
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Bibliographic Info

Paper provided by School of Economics and Business Administration, University of Navarra in its series Faculty Working Papers with number 02/09.

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Length: 53 pages
Date of creation: 20 Jan 2009
Date of revision:
Publication status: Forthcoming on EMPIRICAL ECONOMICS
Handle: RePEc:una:unccee:wp0209

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Web page: http://www.unav.es/facultad/econom

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Keywords: Fractional integration; structural breaks; multivariate analysis; inflation dynamics;

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  1. Antonio Moreno, 2004. "Reaching Inflation Stability," Econometric Society 2004 North American Summer Meetings 269, Econometric Society.
  2. Perron, P. & Bai, J., 1995. "Estimating and Testing Linear Models with Multiple Structural Changes," Cahiers de recherche 9552, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
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