Long memory and regime switching

Journal of Econometrics

Volumn 105, Issue 1, 2001, Pages 131-159

  Diebold, Francis X ^a   Inoue, Atsushi ^b  

^a UNIVERSITY OF PENNSYLVANIA   (United States)

^b NORTH CAROLINA STATE UNIVERSITY   (United States)

Author keywords

Fractional integration; Markov switching model; Mixture model; Regime switching; Stochastic permanent break (STOPBREAK) model; Structural change

Indexed keywords

EID: 0001418135     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0304-4076(01)00073-2     Document Type: Article

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