Title: Modelling persistence change in fractionally integrated models
Authors: Luis Filipe Martins - ISCTE-IUL (Portugal) [presenting]
Josu Arteche - University of the Basque Country UPV/EHU (Spain)
Abstract: In recent years a vast literature documenting changes in the historical behaviour of economic and financial time series has been put forward. The popular parsimonious long-memory ARFIMA model describes both short and long memories simultaneously. There has been proposed parametric local stationary long-memory models. A new approach is proposed to model persistence change in fractionally integrated models. The model's statistical properties, estimation and inference are also studied. Some asymptotic properties of the estimators are derived, and an empirical application to the world inflation rates is considered.