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Testing for Fractional Integration Versus Short Memory with Structural Breaks

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  • Laura Mayoral

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  • Laura Mayoral, 2012. "Testing for Fractional Integration Versus Short Memory with Structural Breaks," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 74(2), pages 278-305, April.
    • Handle: RePEc:bla:obuest:v:74:y:2012:i:2:p:278-305
    DOI: j.1468-0084.2011.00645.x
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    File URL: http://hdl.handle.net/10.1111/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. Zhongjun Qu, 2011. "A Test Against Spurious Long Memory," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 29(3), pages 423-438, July.
    3. Katsumi Shimotsu, 2006. "Simple (but effective) tests of long memory versus structural breaks," Working Papers 1101, Queen's University, Department of Economics.
    4. 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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