An exploratory estimation of ARFIMA(p,d,q) models showed that the estimated d is sensitive to the short-term dynamics included. To address this issue, I run a series of Monte Carlo experiments and test the performance (i) of the AIC and the SIC in selecting p and q and (ii) of the AIC, the SIC...

An exploratory estimation of ARFIMA(p,d,q) models showed that the estimated d is sensitive to the short-term dynamics included. To address this issue, I run a series of Monte Carlo experiments and test the performance (i) of the AIC and the SIC in selecting p and q and (ii) of the AIC, the SIC...

An exploratory estimation of ARFIMA(p,d,q) models showed that the estimated d is sensitive to the short-term dynamics included. To address this issue, I run a series of Monte Carlo experiments and test the performance (i) of the AIC and the SIC in selecting p and q and (ii) of the AIC, the SIC...

We propose the use of likelihood-ratio-based confidence sets for the timing of structural breaks in parameters from time series regression models. The confidence sets are valid for the broad setting of a system of multivariate linear regression equations under fairly general assumptions about...

The theme of unit roots in macroeconomic time series have received a great amount of attention in terms of theoretical and applied research over the last three decades. Since the seminal work by Nelson and Plosser (1982), testing for the presence of a unit root in the time series data has become...