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http://hdl.handle.net/10419/52676
  

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dc.contributor.authorHassler, Uween_US
dc.contributor.authorMeller, Barbaraen_US
dc.date.accessioned2011-12-08en_US
dc.date.accessioned2011-12-09T12:28:50Z-
dc.date.available2011-12-09T12:28:50Z-
dc.date.issued2011en_US
dc.identifier.isbn978-3-86558-761-9en_US
dc.identifier.urihttp://hdl.handle.net/10419/52676-
dc.description.abstractMultiple 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.en_US
dc.language.isoengen_US
dc.publisherDt. Bundesbank Frankfurt, M.en_US
dc.relation.ispartofseriesDiscussion Paper Series 1: Economic Studies 2011,26en_US
dc.subject.jelC22en_US
dc.subject.jelE31en_US
dc.subject.ddc330en_US
dc.subject.keywordFractional integrationen_US
dc.subject.keywordbreak in persistenceen_US
dc.subject.keywordunknown break pointen_US
dc.subject.keywordinflation dynamicsen_US
dc.titleDetecting multiple breaks in long memory: The case of US inflationen_US
dc.typeWorking Paperen_US
dc.identifier.ppn679412972en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen_US
dc.identifier.repecRePEc:zbw:bubdp1:201126-
Appears in Collections:Discussion Paper Series 1: Economic Studies, Deutsche Bundesbank

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