Testing for persistence change in fractionally integrated models: an application to world inflation rates (Q1623546): Difference between revisions

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-.1016/j.csda.2012.07.021
@@ Property / DOI: 10.1016/j.csda.2012.07.021 / rank @@
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+MaRDI publication profile
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+W2016216763
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@@ Property / cites work @@
+Tests for Parameter Instability and Structural Change With Unknown Change Point
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+Estimating and Testing Linear Models with Multiple Structural Changes
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+Critical values for multiple structural change tests
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+Testing for a change of the long-memory parameter
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+Inference on the cointegration rank in fractionally integrated processes.
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+Tests of stationarity against a change in persistence
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+Modelling the US, UK and Japanese unemployment rates: fractional integration and structural breaks
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+Bootstrap testing multiple changes in persistence for a heavy-tailed sequence
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+Tests for cointegration with structural breaks based on subsamples
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+LONG MEMORY TESTING IN THE TIME DOMAIN
@@ Property / cites work: LONG MEMORY TESTING IN THE TIME DOMAIN / rank @@
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+Large-sample properties of parameter estimates for strongly dependent stationary Gaussian time series
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+Inflation Persistence
@@ Property / cites work: Inflation Persistence / rank @@
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+THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS
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+Modified tests for a change in persistence
@@ Property / cites work: Modified tests for a change in persistence / rank @@
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+A RESIDUAL-BASED LM-TYPE TEST AGAINST FRACTIONAL COINTEGRATION
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+TESTING FOR GENERAL FRACTIONAL INTEGRATION IN THE TIME DOMAIN
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+Detecting changes from short to long memory
@@ Property / cites work: Detecting changes from short to long memory / rank @@
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+HETEROSKEDASTICITY-ROBUST TESTING FOR A FRACTIONAL UNIT ROOT
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+Detection of change in persistence of a linear time series
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+Tests for a change in persistence against the null of difference‐stationarity
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+CUSUM of Squares‐Based Tests for a Change in Persistence
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+Efficient Tests of Nonstationary Hypotheses
@@ Property / cites work: Efficient Tests of Nonstationary Hypotheses / rank @@
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+Testing for a break in persistence under long-range dependencies
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+THE NONSTATIONARY FRACTIONAL UNIT ROOT
@@ Property / cites work: THE NONSTATIONARY FRACTIONAL UNIT ROOT / rank @@
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@@ Property / DOI @@
+.1016/J.CSDA.2012.07.021
@@ Property / DOI: 10.1016/J.CSDA.2012.07.021 / rank @@
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