A multivariate long-memory model with structural breaks
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Cites work
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- Fractional integration and structural breaks at unknown periods of time
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- scientific article; zbMATH DE number 3942888 (Why is no real title available?)
- scientific article; zbMATH DE number 847242 (Why is no real title available?)
- LAG Length Selection and the Construction of Unit Root Tests with Good Size and Power
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Cited in
(7)- A fractional multivariate long memory model for the US and the Canadian real output
- Estimating multiple breaks in nonstationary autoregressive models
- Modelling long memory and structural breaks in conditional variances: an adaptive FIGARCH approach
- Stability and convergence of difference schemes approximating a two-parameter nonlocal boundary value problem
- Fractional integration and structural breaks at unknown periods of time
- Estimation of structural mean breaks for long-memory data sets
- Spectral properties of a nonlocal second-order difference operator
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