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Testing for Fractional Integration Versus Short Memory with Structural Breaks

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  • Laura Mayoral

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File URL: http://hdl.handle.net/10.1111/j.1468-0084.2011.00645.x
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Article provided by Department of Economics, University of Oxford in its journal Oxford Bulletin of Economics and Statistics.

Volume (Year): 74 (2012)
Issue (Month): 2 (04)
Pages: 278-305

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Handle: RePEc:bla:obuest:v:74:y:2012:i:2:p:278-305
DOI: j.1468-0084.2011.00645.x
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Cited by:

  1. Renzo Pardo Figueroa & Gabriel Rodríguez, 2014. " Distinguishing between True and Spurious Long Memory in the Volatility of Stock Market Returns in Latin America," Documentos de Trabajo / Working Papers 2014-395, Departamento de Economía - Pontificia Universidad Católica del Perú.
  2. Katsumi Shimotsu, 2006. "Simple (but effective) tests of long memory versus structural breaks," Working Papers 1101, Queen's University, Department of Economics.
  3. Michal Franta & Branislav Saxa & Kateøina Šmídková, 2010. "The Role of Inflation Persistence in the Inflation Process in the New EU Member States," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 60(6), pages 480-500, December.

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