We propose a general class of Markov-switching-ARFIMA processes in order to combine strands of long memory and Markov-switching literature. Although the coverage of this class of models is broad, we show that these models can be easily estimated with the DLV algorithm proposed. This algorithm...

The statistical properties of inflation and, in particular, its degree of persistence and stability over time is a subject of intense debate and no consensus has been achieved yet. The goal of this paper is to analyze this controversy using a general approach, with the aim of providing a...

Economists and econometricians very often work with data which has been temporally disaggregated prior to use. Hence, the quality of the disaggregation clearly affects the quality of the analyses. Building on Chow and Lin's (1971) disaggregation model this paper proposes a new estimation...

This paper presents the empirical evidence on the long-run neutrality (LRN) of money in the stock market in Malaysia using seasonal adjusted monthly data from 1978:1 to 1999:12 based on the bivariate ARIMA framework developed by Fisher and Seater (1993). Besides the main stock index, the...

An important limitation in order to specify and estimate a macroeconomic model that describes the Chilean economy resides in using variables with sufficient number of observations that allow for a reliable econometric estimation. Among these variables, th