Change-point estimation of nonstationary \(I(d)\) processes

DOI10.1016/j.econlet.2007.04.018zbMath1255.62233OpenAlexW1973385142MaRDI QIDQ1934679

Chung-Ming Kuan, Yu-Chin Hsu

Publication date: 29 January 2013

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.econlet.2007.04.018

zbMATH Keywords

least-squares estimatorspurious change

Mathematics Subject Classification ID

Non-Markovian processes: estimation (62M09) Point estimation (62F10)

Related Items

Spurious regression between long memory series due to mis-specified structural breaks ⋮ Estimation of a level shift in panel data with fractionally integrated errors ⋮ Inference on a Structural Break in Trend with Fractionally Integrated Errors ⋮ Estimating multiple breaks in mean sequentially with fractionally integrated errors ⋮ Estimation and identification of change points in panel models with nonstationary or stationary regressors and error term

Cites Work

• The law of the iterated logarithm for self-similar processes represented by multiple Wiener integrals
• The Fractional Unit Root Distribution
• Fractional differencing
• AN INTRODUCTION TO LONG-MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING
• Law of the iterated logarithm for sums of non-linear functions of Gaussian variables that exhibit a long range dependence
• Change‐Point Estimation of Fractionally Integrated Processes
• LEAST SQUARES ESTIMATION OF A SHIFT IN LINEAR PROCESSES

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