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The effect of linear filters on dynamic time series with structural change · Study

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ArticleThe effect of linear filters on dynamic time series with structural change

Éric Ghysels1996

Article1996

The effect of linear filters on dynamic time series with structural change

Éric Ghysels · Pierre Perron Z

33 citations·0/0 files stored·Journal of Econometrics

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Monetary Policy and Economic Impact Forecasting Techniques and Applications Statistical and numerical algorithms

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References

1979Distribution of the Estimators for Autoregressive Time Series with a Unit Root 1979Distribution of the Estimators for Autoregressive Time Series With a Unit Root 1989The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis 2002Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis 1993Tests for Parameter Instability and Structural Change With Unknown Change Point 1984Testing for Unit Roots in Autoregressive-Moving Average Models of Unknown Order 1992Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis 1990Seasonal integration and cointegration

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2008Does competitive entry structurally change key marketing metrics?2009UK INFLATION: PERSISTENCE, SEASONALITY AND MONETARY POLICY 2013Identifying Changes in Mean, Seasonality, Persistence and Volatility for G7 and Euro Area Inflation*1999Does seasonality influence the dating of business cycle turning points?

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Details

Year1996

Typearticle

Published1996-01-01

VenueJournal of Econometrics

ISSN-L0304-4076

Languageen

Citations33

Files0 public / 0

ShelfMonetary Policy and Economic Impact

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doi10.1016/0304-4076(94)01684-4

openalex_workW2065639247

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