I would like to thank Anindya Banerjee, two anonymous referees and participants in seminars at LSE, CORE and UB for valuable comments and suggestions. Financial support from the Spanish Government CICYT project no SEJ2006-00369, the BGSE Research Network and the Generalitat de Catalunya is gratefully acknowledged. The usual disclaimer applies.
Testing for Fractional Integration Versus Short Memory with Structural Breaks*
Article first published online: 11 JUL 2011
© Blackwell Publishing Ltd and the Department of Economics, University of Oxford, 2011
Oxford Bulletin of Economics and Statistics
Volume 74, Issue 2, pages 278–305, April 2012
How to Cite
Mayoral, L. (2012), Testing for Fractional Integration Versus Short Memory with Structural Breaks. Oxford Bulletin of Economics and Statistics, 74: 278–305. doi: 10.1111/j.1468-0084.2011.00645.x
- Issue published online: 9 FEB 2012
- Article first published online: 11 JUL 2011
- Final Manuscript Received: November 2010
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