Inference on a Structural Break in Trend with Fractionally Integrated Errors

DOI10.1111/jtsa.12176zbMath1359.62360MaRDI QIDQ2815049

Seong Yeon Chang, Pierre Perron

Publication date: 27 June 2016

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://hdl.handle.net/2144/26265

zbMATH Keywords

structural change; linear trend; fractionally integrated process; segmented trend; spurious break

Mathematics Subject Classification ID

62F12: Asymptotic properties of parametric estimators

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62E20: Asymptotic distribution theory in statistics

Related Items

Robust discrimination between long‐range dependence and a change in mean, 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, Estimating multiple breaks in mean sequentially with fractionally integrated errors, Inference on a structural break in trend with mildly integrated errors

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