Testing for a break in trend when the order of integration is unknown

DOI10.1016/j.jeconom.2013.03.008zbMath1284.62527OpenAlexW1972344018MaRDI QIDQ2442575

A. M. Robert Taylor, Fabrizio Iacone, Stephen J. Leybourne

Publication date: 4 April 2014

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

Full work available at URL: https://doi.org/10.1016/j.jeconom.2013.03.008

zbMATH Keywords

fractional integrationtrend breaksup-Wald statistic

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: hypothesis testing (62M07)

Related Items (9)

Robust testing of time trend and mean with unknown integration order errors ⋮ A modified test against spurious long memory ⋮ Testing for a change in mean under fractional integration ⋮ Testing for a break in trend when the order of integration is unknown ⋮ Extensions of some classical methods in change point analysis ⋮ TESTING THE ORDER OF FRACTIONAL INTEGRATION OF A TIME SERIES IN THE POSSIBLE PRESENCE OF A TREND BREAK AT AN UNKNOWN POINT ⋮ A simple test on structural change in long-memory time series ⋮ Inference on a Structural Break in Trend with Fractionally Integrated Errors ⋮ Robust discrimination between long‐range dependence and a change in mean

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