Multiple structural change tests by Bei and Perron (1998) are applied to the regression by Demetrescu, Kuzin and Hassler (2008) in order to detect breaks in the order of fractional integration. With this instrument we tackle time-varying inflation persistence as an important issue for monetary...

Multiple structural change tests by Bei and Perron (1998) are applied to the regression by Demetrescu, Kuzin and Hassler (2008) in order to detect breaks in the order of fractional integration. With this instrument we tackle time-varying inflation persistence as an important issue for monetary...

Multiple structural change tests by Bai and Perron (Econometrica 66:47–78, <CitationRef CitationID="CR2">1998</CitationRef>) are applied to the regression by Demetrescu et al. (Econ Theory 24:176–215, <CitationRef CitationID="CR15">2008</CitationRef>) in order to detect breaks in the order of fractional integration. With this instrument we tackle time-varying inflation...</citationref></citationref>

The behavior of impulse response coefficients as persistence measures is discussed under fractional integration. Results for long memory processes are extended to the antipersistent case of short memory.