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Detecting multiple breaks in long memory: The case of US inflation

Uwe Hassler and Barbara Meller

No 2011,26, Discussion Paper Series 1: Economic Studies from Deutsche Bundesbank

Abstract: 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 policy. We determine not only the location and significance of breaks in persistence, but also the number of breaks. Only one significant break in U.S. inflation persistence (measured by the long-memory parameter) is found to have taken place in 1973, while a second break in 1980 is not significant.

Keywords: Fractional integration; break in persistence; unknown break point; inflation dynamics (search for similar items in EconPapers)
JEL-codes: C22 E31 (search for similar items in EconPapers)
Date: 2011
New Economics Papers: this item is included in nep-cba, nep-ecm, nep-ets, nep-mac and nep-mon
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (7)

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Journal Article: Detecting multiple breaks in long memory the case of U.S. inflation (2014) Downloads
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Persistent link: https://EconPapers.repec.org/RePEc:zbw:bubdp1:201126

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