Please use this identifier to cite or link to this item: http://buratest.brunel.ac.uk/handle/2438/3541
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dc.contributor.authorCaporale, GM-
dc.contributor.authorGil-Alana, LA-
dc.coverage.spatial25en
dc.date.accessioned2009-07-23T15:02:30Z-
dc.date.available2009-07-23T15:02:30Z-
dc.date.issued2007-
dc.identifier.citationEconomics and Finance Discussion Papers, Brunel University, 07-04.en
dc.identifier.urihttp://bura.brunel.ac.uk/handle/2438/3541-
dc.description.abstractThis paper introduces a multivariate long-memory model with structural breaks. In the proposed framework, time series exhibit possibly fractional orders of integration which are allowed to be different in each subsample. The break date is endogenously determined using a procedure which minimises the residual sum of squares (RSS). Monte Carlo experiments show that this method for detecting breaks performs well in large samples. As an illustration, we estimate a trivariate VAR including prices, employment and GDP in both the US and Mexico. For the subsample preceding the break our findings are similar to those of earlier studies based on a standard VAR approach in both countries, in the sense that the variables exhibit integer degrees of integration. On the contrary, the series are found to be fractionally integrated after the break, with the fractional differencing parameters being higher than 1 in the case of Mexico.en
dc.format.extent501075 bytes-
dc.format.mimetypeapplication/pdf-
dc.language.isoen-
dc.publisherBrunel Universityen
dc.subjectMultivariate models; Fractional integration; Structural breaksen
dc.titleA multivariate long-memory model with structural breaksen
dc.typeResearch Paperen
Appears in Collections:Economics and Finance
Dept of Economics and Finance Research Papers

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