Utilize este identificador para referenciar este registo: http://hdl.handle.net/10071/9476
Registo completo
Campo DCValorIdioma
dc.contributor.authorMartins, L. F.-
dc.contributor.authorRodrigues, P.-
dc.date.accessioned2015-07-29T13:20:41Z-
dc.date.available2015-07-29T13:20:41Z-
dc.date.issued2014-
dc.identifier.issn0167-9473por
dc.identifier.urihttps://ciencia.iscte-iul.pt/public/pub/id/19157-
dc.identifier.urihttp://hdl.handle.net/10071/9476-
dc.description.abstractA 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 context. Asymptotic results are derived and the performance of the new tests evaluated in a Monte Carlo exercise. In particular, analytical and simulation results are provided for cases where the order of fractional integration is both known and unknown and needs to be estimated. The finite sample size and power performance of the statistics are encouraging and compare favorably to other recently proposed tests in the literature. The test statistics introduced are also applied to several world inflation rates and evidence of persistence change is found in most seriespor
dc.language.isoengpor
dc.publisherElsevierpor
dc.rightsembargoedAccesspor
dc.subjectLM testspor
dc.subjectNonstationaritypor
dc.subjectFractional integrationpor
dc.subjectPersistence changepor
dc.subjectInflationpor
dc.titleTesting for persistence change in fractionally integrated models: an application to world inflation ratespor
dc.typearticleen_US
dc.pagination502-522por
dc.publicationstatusPublicadopor
dc.peerreviewedSimpor
dc.relation.publisherversionThe definitive version is available at: http://dx.doi.org/10.1016/j.csda.2012.07.021por
dc.journalComputational Statistics and Data Analysispor
dc.distributionInternacionalpor
dc.volume76por
degois.publication.firstPage502por
degois.publication.lastPage522por
degois.publication.titleComputational Statistics and Data Analysispor
dc.date.updated2015-07-29T13:19:43Z-
Aparece nas coleções:BRU-RI - Artigos em revistas científicas internacionais com arbitragem científica

Ficheiros deste registo:
Ficheiro Descrição TamanhoFormato 
publisher_version_1_s2_0_S0167947312002952_main.pdf
  Restricted Access
473,23 kBAdobe PDFVer/Abrir Request a copy


FacebookTwitterDeliciousLinkedInDiggGoogle BookmarksMySpaceOrkut
Formato BibTex mendeley Endnote Logotipo do DeGóis Logotipo do Orcid 

Todos os registos no repositório estão protegidos por leis de copyright, com todos os direitos reservados.