Testing for Fractional Integration Versus Short Memory with Structural Breaks
Author
Abstract
Suggested Citation
DOI: j.1468-0084.2011.00645.x
Download full text from publisher
As the access to this document is restricted, you may want to search for a different version of it.
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- 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.
- Zhongjun Qu, 2011.
"A Test Against Spurious Long Memory,"
Journal of Business & Economic Statistics,
Taylor & Francis Journals, vol. 29(3), pages 423-438, July.
- Qu, Zhongjun, 2011. "A Test Against Spurious Long Memory," Journal of Business & Economic Statistics, American Statistical Association, vol. 29(3), pages 423-438.
- Zhongjun Qu, 2010. "A Test Against Spurious Long Memory," Boston University - Department of Economics - Working Papers Series WP2010-051, Boston University - Department of Economics.
- Katsumi Shimotsu, 2006. "Simple (but effective) tests of long memory versus structural breaks," Working Papers 1101, Queen's University, Department of Economics.
- 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.
Corrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:bla:obuest:v:74:y:2012:i:2:p:278-305. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Wiley-Blackwell Digital Licensing) or (Christopher F. Baum). General contact details of provider: http://edirc.repec.org/data/sfeixuk.html .
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
We have no references for this item. You can help adding them by using this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.