Recent research has focused on the links between long memory and structural breaks, stressing the memory properties that may arise in models with parameter changes. In this paper, we question the implications of this result for forecasting. We contribute to this research by comparing the...

Money demand specifications exhibits instability, especially for long spans of data. This paper reconsiders the welfare cost of inflation for the US economy using a flexible time-varying cointegration methodology to estimate the money demand function. We find evidence that the time-varying...

Money demand specifications exhibits instability, especially for long spans of data. This paper reconsiders the welfare cost of inflation for the US economy using a flexible time-varying cointegration methodology to estimate the money demand function. We find evidence that the time-varying...

A new approach to detect persistence change in fractionally integrated models based on recursive forward and backward estimation of regression-based Lagrange Multiplier tests is proposed. This procedure generalizes approaches for conventional integrated processes to the fractional integration...

International equity markets linkages are characterized by nonlinear dependence and asymmetries. We investigate shifts in long run comovements in stock markets by means of an ‘interrupted’ Markov switching cointegration specification. This flexible approach allow us to study to what extent...

Recent research has focused on the links between long memory and structural change, stressing the long memory properties that may arise in models with parameter changes. In this paper, we contribute to this research by comparing the forecasting abilities of long memory and Markov switching...