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2005-10-17Buch DOI: 10.18452/3616
Unit and Fractional Roots in the Presence of Abrupt Changes with an Application to the Brazilian Inflation Rate
dc.contributor.authorGil-Alaña, Luis A.
dc.date.accessioned2017-06-15T21:34:19Z
dc.date.available2017-06-15T21:34:19Z
dc.date.created2005-10-17
dc.date.issued2005-10-17
dc.identifier.issn1436-1086
dc.identifier.urihttp://edoc.hu-berlin.de/18452/4268
dc.description.abstractWe analyse in this article the monthly structure of the Brazilian inflation rate by means of fractionally integrated techniques. This series is characterized by strong government interventions to bring inflation to a low level. We use a testing procedure due to Robinson (1994) which allow us to model the underlying dynamic of the series in terms of I(d) statistical models, while the government interventions are specified in terms of dummy variables. The results show that the series can be described in terms of an I(0.75) process with some of the interventions having little impact on the series.eng
dc.language.isoeng
dc.publisherHumboldt-Universität zu Berlin, Wirtschaftswissenschaftliche Fakultät
dc.rights.urihttp://rightsstatements.org/vocab/InC/1.0/
dc.subjectLong memoryeng
dc.subjectFractional integrationeng
dc.subject.ddc330 Wirtschaft
dc.titleUnit and Fractional Roots in the Presence of Abrupt Changes with an Application to the Brazilian Inflation Rate
dc.typebook
dc.identifier.urnurn:nbn:de:kobv:11-10050366
dc.identifier.doihttp://dx.doi.org/10.18452/3616
local.edoc.pages21
local.edoc.type-nameBuch
local.edoc.container-typeseries
local.edoc.container-type-nameSchriftenreihe
local.edoc.container-year2001
dc.identifier.zdb2135319-0
bua.series.nameSonderforschungsbereich 373: Quantification and Simulation of Economic Processes
bua.series.issuenumber2001,67

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