Showing 1 - 10 of 421
We study the empirical behaviour of semi-parametric estimation for long-memory models when the true data generating process exhibits a change in persistence. Evidence for long memory is likely to be found. Procedures for discrimination between different models are proposed.
Persistent link: https://www.econbiz.de/10010572134
It is well known that standard tests for a mean shift are invalid in long-range dependent time series. Therefore, several long memory robust extensions of standard testing principles for a change-in-mean have been proposed in the literature. These can be divided into two groups: those that...
Persistent link: https://www.econbiz.de/10011667075
We propose a simple test on structural change in long-range dependent time series. It is based on the idea that the test statistic of the standard CUSUM test retains its asymptotic distribution if it is applied to fractionally differenced data. We prove that our approach is asymptotically valid...
Persistent link: https://www.econbiz.de/10011655296
We propose a family of self-normalized CUSUM tests for structural change under long memory. The test statistics apply non-parametric kernel-based fixed-b and fixed-m long-run variance estimators and have well-defined limiting distributions that only depend on the long-memory parameter. A Monte...
Persistent link: https://www.econbiz.de/10011957769
We develop methods to obtain optimal forecast under long memory in the presence of a discrete structural break based on different weighting schemes for the observations. We observe significant changes in the forecasts when long-range dependence is taken into account. Using Monte Carlo...
Persistent link: https://www.econbiz.de/10014247842
In this paper, tests for fractional cointegration that allow for structural breaks in the long-run equilibrium are proposed. Traditional cointegration tests cannot handle shifts in fractional cointegration relationships, a limitation addressed here by allowing for a time-dependent memory...
Persistent link: https://www.econbiz.de/10015175368
The relationship between government revenue and government expenditure has been an important topic in public economics, given its relevance for policy especially with respect to the budget deficit. The main purpose of this paper is to examine the relationship between government revenue and...
Persistent link: https://www.econbiz.de/10010783677
This paper examines the ASEAN-5 countries and explores the impact of structural breaks on the level of financial integration in that region. An extended cointegration procedure allowing for three types of structural break, is employed and compared with the standard Johansen procedure, for daily...
Persistent link: https://www.econbiz.de/10010869876
This paper explores the response of the divorce rate to law reforms introducing unilateral divorce after controlling for law reforms concerning the aftermath of divorce, which are omitted from most previous studies. We introduce two main policy changes that have swept the US since the late...
Persistent link: https://www.econbiz.de/10011048211
In this paper we extend the FMLS-based CUSUM cointegration test (Xiao and Phillips, 2002) for testing the smooth time-varying cointegration null hypothesis. For this purpose we use Chebyshev time polynomials to specify time-varying coefficients under the null. We derive the limiting distribution...
Persistent link: https://www.econbiz.de/10011076529