161
Views
8
CrossRef citations to date
0
Altmetric
Original Articles

Bai and Perron's and spectral density methods for structural change detection in the US inflation process

, &
Pages 109-115 | Published online: 01 Sep 2006

References

References

  • Ahamada I Ben Aïssa MS 2003 Changements structurels dans la dynamique de l’inflation aux États-Unis: Approches non paramétriques, forthcoming in Annales d’Économie et de Statistique
  • Ahamada , I and Boutahar , M . 2002 . Tests for covariance stationarity and white noise, with an application to Euro/US dollar exchange rate, an approach based on the evolutionary spectral density . Economics Letters , 77 : 177 – 86 .
  • Artis MJ Bladen-Hovell R Nachane DM 1992 Instability of velocity of money, a new approach based on the evolutionary spectrum CEPR Discussion paper n° 735
  • Bai , J and Perron , P . 1998 . Estimating and testing linear models with multiple structural changes . Econometrica , 66 : 47 – 78 .
  • Bai J Perron P 2000 Multiple structural change models: A simulation analysis, forthcoming in Econometric Essays (Eds) D. Corbea, S. Durlauf and B. E. Hansen Cambridge University Press Cambridge
  • Bai , J and Perron , P . 2003a . Computation and analysis of multiple structural change models . Journal of Applied Econometrics , 18 : 1 – 22 .
  • Bai , J and Perron , P . 2003b . Critical values for multiple structural change tests . Econometrics Journal , 1 : 1 – 7 .
  • Ben Aïssa MS Boutahar M 2003 Use of spectral density for retrospective detection of structural changes Manuscript, GREQAM Université de la Méditerranée Marseille
  • Ben Aïssa , MS and Jouini , J . 2003 . Structural breaks in the U.S. inflation process . Applied Economics Letters , 10 : 633 – 36 .
  • Jouini J Boutahar M 2003 Analysis of structural change models with applications to U.S. time series Working Paper n° 03B03, GREQAM Université de la Méditerranée Marseille
  • Ploberger , W and Krämer , W . 1992 . The CUSUM test with OLS residuals . Econometrica , 60 : 271 – 85 .
  • Priestley , MB . 1965 . Evolutionary spectra and non-stationary processes . Journal of Royal Statistical Society , B27 : 204 – 37 .
  • Priestley , MB . 1969 . A test for non stationarity of time series . Journal of Royal Statistical Society , 31 : 140 – 49 .
  • Priestley MB 1988 Non-linear and Non-stationary Time Series Analysis, Academic Press London
  • Priestley , MB . 1996 . Wavelets and time-dependent spectral analysis . Journal of Time Series Analysis , 17 : 85 – 103 .

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.