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Testing for Fractional Integration Versus Short Memory with Structural Breaks. .作者:Mayoral, Laura1 laura.mayoral@iae.csic.es.
来源:Oxford Bulletin of Economics & Statistics; Apr2012, Vol. 74 Issue 2, p278-305, 28p, 13 Charts, 1 Graph.
文献类型:Article.
主题语:*MACROECONOMICS
*INFLATION (Finance)
SHORT-term memory
HYPOTHESIS.
地理术语:UNITED States.
摘要:Although it is commonly accepted that most macroeconomic variables are non-stationary, it is often difficult to identify the source of the non-stationarity. Integrated processes and short-memory models with trending components, possibly affected by structural breaks, imply similar features in the data and, accordingly, are hard to distinguish. The goal of this article is to extend the classical testing framework of I(1) versus I(0) + trends and/or breaks by considering a more general class of models under the null hypothesis: fractionally integrated (FI) processes. The asymptotic properties of the proposed tests are derived and it is shown that they are very well-behaved in finite samples. An illustration using US inflation data is also provided. [ABSTRACT FROM AUTHOR].
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作者单位:1Institute for Economic Analysis, (CSIC) and Barcelona GSE, Campus UAB-08193 Bellaterra, Barcelona, Spain (e-mail: ).

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