Long memory or structural changes: An empirical examination on inflation rates

Chih Chiang Hsu

doi:10.1016/j.econlet.2005.02.017

Long memory or structural changes: An empirical examination on inflation rates

Chih Chiang Hsu

Graduate Institute of Accounting

Research output: Contribution to journal › Article › peer-review

24 Scopus citations

Abstract

The modified local Whittle method is proposed for testing long memory when the data have structural changes. We apply it to analyze monthly G7 inflation rates. Empirical results show that for Germany and Japan, the long-memory phenomenon may just be a consequence of structural changes, and that for other countries, the inflation rates may have both long memory and structural changes.

Original language	English
Pages (from-to)	289-294
Number of pages	6
Journal	Economics Letters
Volume	88
Issue number	2
DOIs	https://doi.org/10.1016/j.econlet.2005.02.017
State	Published - Aug 2005

Keywords

Change point
Local Whittle estimation
Long memory

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10.1016/j.econlet.2005.02.017

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abstract = "The modified local Whittle method is proposed for testing long memory when the data have structural changes. We apply it to analyze monthly G7 inflation rates. Empirical results show that for Germany and Japan, the long-memory phenomenon may just be a consequence of structural changes, and that for other countries, the inflation rates may have both long memory and structural changes.",

keywords = "Change point, Local Whittle estimation, Long memory",

author = "Hsu, {Chih Chiang}",

note = "Funding Information: I am very grateful to C.S. Bos, C.-F. Chung, C.-M. Kuan, G. Teyssiere, and the anonymous referee for their worthy suggestions and comments. Financial support is acknowledged from the National Science Council of the Republic of China (NSC89-2415-H-008-004).",

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AU - Hsu, Chih Chiang

N1 - Funding Information: I am very grateful to C.S. Bos, C.-F. Chung, C.-M. Kuan, G. Teyssiere, and the anonymous referee for their worthy suggestions and comments. Financial support is acknowledged from the National Science Council of the Republic of China (NSC89-2415-H-008-004).

PY - 2005/8

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N2 - The modified local Whittle method is proposed for testing long memory when the data have structural changes. We apply it to analyze monthly G7 inflation rates. Empirical results show that for Germany and Japan, the long-memory phenomenon may just be a consequence of structural changes, and that for other countries, the inflation rates may have both long memory and structural changes.

AB - The modified local Whittle method is proposed for testing long memory when the data have structural changes. We apply it to analyze monthly G7 inflation rates. Empirical results show that for Germany and Japan, the long-memory phenomenon may just be a consequence of structural changes, and that for other countries, the inflation rates may have both long memory and structural changes.

KW - Change point

KW - Local Whittle estimation

KW - Long memory

UR - http://www.scopus.com/inward/record.url?scp=20444466525&partnerID=8YFLogxK

U2 - 10.1016/j.econlet.2005.02.017

DO - 10.1016/j.econlet.2005.02.017

M3 - 期刊論文

AN - SCOPUS:20444466525

SN - 0165-1765

VL - 88

SP - 289

EP - 294

JO - Economics Letters

JF - Economics Letters

IS - 2

ER -

Long memory or structural changes: An empirical examination on inflation rates

Abstract

Keywords

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