Long memory and changing persistence
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- Kruse, Robinson & Sibbertsen, Philipp, 2012. "Long memory and changing persistence," Economics Letters, Elsevier, vol. 114(3), pages 268-272.
- Kruse, Robinson & Sibbertsen, Philipp, 2010. "Long memory and changing persistence," Hannover Economic Papers (HEP) dp-455, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
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Citations
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Cited by:
- Kruse Robinson & Ventosa-Santaulària Daniel & Noriega Antonio E., 2017.
"Changes in persistence, spurious regressions and the Fisher hypothesis,"
Studies in Nonlinear Dynamics & Econometrics,
De Gruyter, vol. 21(3), pages 1-28, June.
- Robinson Kruse & Daniel Ventosa-Santaulària & Antonio E. Noriega, 2013. "Changes in persistence, spurious regressions and the Fisher hypothesis," CREATES Research Papers 2013-11, Department of Economics and Business Economics, Aarhus University.
- repec:eee:jebusi:v:92:y:2017:i:c:p:45-62 is not listed on IDEAS
- Chen, Zhanshou & Xing, Yuhong & Li, Fuxiao, 2016. "Sieve bootstrap monitoring for change from short to long memory," Economics Letters, Elsevier, vol. 140(C), pages 53-56.
- Till Strohsal & Lars Winkelmann, 2012. "Assessing the Anchoring of Inflation Expectations," SFB 649 Discussion Papers SFB649DP2012-022, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
More about this item
Keywords
Long memory; changing persistence; structural break; semi-parametric estimation;JEL classification:
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ALL-2010-09-03 (All new papers)
- NEP-ECM-2010-09-03 (Econometrics)
- NEP-ETS-2010-09-03 (Econometric Time Series)
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