Testing for structural change in a long-memory environment

DOI10.1016/0304-4076(94)01687-9zbMath0834.62084OpenAlexW2104593563MaRDI QIDQ1906291

Peter M. Robinson, Javier Hidalgo

Publication date: 8 April 1996

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0304-4076(94)01687-9

zbMATH Keywords

structural changelong-memory errorslong-memory time-seriesnonstochastic and stochastic regressors

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Parametric hypothesis testing (62F03)

Related Items (23)

Modelling structural breaks, long memory and stock market volatility: an overview ⋮ Volatility comovement: a multifrequency approach ⋮ Nonlinearity and temporal dependence ⋮ Monitoring mean and variance change-points in long-memory time series ⋮ Recursive predictive tests for structural change of long-memory ARFIMA processes with unknown break points ⋮ Real-time monitoring test for realized volatility ⋮ Testing for changes in the mean or variance of long memory processes ⋮ Strong rules for detecting the number of breaks in a time series ⋮ Asymptotic behaviour of the LS estimator in a nonlinear model with long memory ⋮ A CUSUM test for a long memory heterogeneous autoregressive model ⋮ Forecasting a long memory process subject to structural breaks ⋮ Long memory versus structural breaks: an overview ⋮ Long memory and regime switching ⋮ A simple test of changes in mean in the possible presence of long-range dependence ⋮ How can we Define the Concept of Long Memory? An Econometric Survey ⋮ Structural changes estimation for strongly dependent processes ⋮ Bootstrap testing for discontinuities under long-range dependence ⋮ Empirically relevant critical values for hypothesis tests: A bootstrap approach ⋮ Change-in-mean tests in long-memory time series: a review of recent developments ⋮ Structural breaks in time series ⋮ Testing for parameter instability and structural change in persistent predictive regressions ⋮ Bayesian methods for change-point detection in long-range dependent processes ⋮ The S-estimator in the change-point random model with long memory

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• A central limit theorem for quadratic forms in strongly dependent linear variables and its application to asymptotical normality of Whittle's estimate
• THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS
• The Fractional Unit Root Distribution
• Tests for Hurst effect
• Discrimination between monotonic trends and long-range dependence
• Weak convergence to fractional brownian motion and to the rosenblatt process
• On the Estimation of Regression Coefficients in the Case of an Autocorrelated Disturbance

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