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Title:Detecting multiple breaks in long memory: The case of US inflation PDF Logo
Authors:Hassler, Uwe
Meller, Barbara
Issue Date:2011
Series/Report no.:Discussion Paper Series 1: Economic Studies 2011,26
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.
Subjects:Fractional integration
break in persistence
unknown break point
inflation dynamics
JEL:C22
E31
ISBN:978-3-86558-761-9
Document Type:Working Paper
Appears in Collections:Discussion Paper Series 1: Economic Studies, Deutsche Bundesbank

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