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Structural Change and Long Memory in the Dynamic of U.S. Inflation Process

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  • Mustapha Belkhouja
  • Mohamed Boutahar

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Suggested Citation

  • Mustapha Belkhouja & Mohamed Boutahar, 2009. "Structural Change and Long Memory in the Dynamic of U.S. Inflation Process," Computational Economics, Springer;Society for Computational Economics, vol. 34(2), pages 195-216, September.
    • Handle: RePEc:kap:compec:v:34:y:2009:i:2:p:195-216
    DOI: 10.1007/s10614-009-9178-2
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    References listed on IDEAS

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    1. Kwiatkowski, Denis & Phillips, Peter C. B. & Schmidt, Peter & Shin, Yongcheol, 1992. "Testing the null hypothesis of stationarity against the alternative of a unit root : How sure are we that economic time series have a unit root?," Journal of Econometrics, Elsevier, vol. 54(1-3), pages 159-178.
    2. Jushan Bai, 1997. "Estimation Of A Change Point In Multiple Regression Models," The Review of Economics and Statistics, MIT Press, vol. 79(4), pages 551-563, November.
    3. Jushan Bai & Pierre Perron, 1998. "Estimating and Testing Linear Models with Multiple Structural Changes," Econometrica, Econometric Society, vol. 66(1), pages 47-78, January.
    4. Jushan Bai & Pierre Perron, 2003. "Computation and analysis of multiple structural change models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 18(1), pages 1-22.
    5. Hassler, Uwe & Wolters, Jurgen, 1995. "Long Memory in Inflation Rates: International Evidence," Journal of Business & Economic Statistics, American Statistical Association, vol. 13(1), pages 37-45, January.
    6. J. Jouini & M. Boutahar, 2003. "Structural breaks in the U.S. inflation process: a further investigation," Applied Economics Letters, Taylor & Francis Journals, vol. 10(15), pages 985-988.
    7. Mohamed Safouane Ben Aissa & Jamel Jouini, 2003. "Structural breaks in the US inflation process," Applied Economics Letters, Taylor & Francis Journals, vol. 10(10), pages 633-636.
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    Cited by:

    1. Belkhouja, Mustapha & Mootamri, Imene, 2016. "Long memory and structural change in the G7 inflation dynamics," Economic Modelling, Elsevier, vol. 54(C), pages 450-462.

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    More about this item

    Keywords

    Long memory; Model selection; Multiple breaks; Penalizedleast-squares estimate; Pure structural change; C22; C82;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C82 - Mathematical and Quantitative Methods - - Data Collection and Data Estimation Methodology; Computer Programs - - - Methodology for Collecting, Estimating, and Organizing Macroeconomic Data; Data Access

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