Inference on a structural break in trend with fractionally integrated errors
From MaRDI portal
Recommendations
- Inference on a structural break in trend with mildly integrated errors
- ESTIMATING TRENDING VARIABLES IN THE PRESENCE OF FRACTIONALLY INTEGRATED ERRORS
- On the behavior of fixed-b trend break tests under fractional integration
- scientific article; zbMATH DE number 1475337
- ON ASYMPTOTIC INFERENCE IN COINTEGRATED TIME SERIES WITH FRACTIONALLY INTEGRATED ERRORS
- INFERENCE ON NONPARAMETRICALLY TRENDING TIME SERIES WITH FRACTIONAL ERRORS
- Estimating multiple breaks in mean sequentially with fractionally integrated errors
Cites work
- A comparison of alternative asymptotic frameworks to analyse a structural change in a linear time trend
- A fixed-b test for a break in level at an unknown time under fractional integration
- A simple test of changes in mean in the possible presence of long-range dependence
- AN INTRODUCTION TO LONG-MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING
- ASYMPTOTICS FOR GENERAL FRACTIONALLY INTEGRATED PROCESSES WITH APPLICATIONS TO UNIT ROOT TESTS
- Change-point estimation of nonstationary I(d) processes
- Change‐Point Estimation of Fractionally Integrated Processes
- Distribution of the Estimators for Autoregressive Time Series With a Unit Root
- Efficient Wald Tests for Fractional Unit Roots
- Estimating and Testing Linear Models with Multiple Structural Changes
- Fixed-b analysis of LM-type tests for a shift in mean
- Fractional differencing
- Fractional integration and structural breaks at unknown periods of time
- Law of the iterated logarithm for sums of non-linear functions of Gaussian variables that exhibit a long range dependence
- LEAST SQUARES ESTIMATION OF A SHIFT IN LINEAR PROCESSES
- Least-squares estimation of an unknown number of shifts in a time series
- On asymptotic distribution theory in segmented regression problems - identified case
- On the behavior of fixed-b trend break tests under fractional integration
- Optimal Tests when a Nuisance Parameter is Present Only Under the Alternative
- SIMPLE, ROBUST, AND POWERFUL TESTS OF THE BREAKING TREND HYPOTHESIS
- Structural breaks with deterministic and stochastic trends
- Testing for a break in trend when the order of integration is unknown
- Testing for a shift in trend at an unknown date: a fixed-b analysis of heteroskedasticity autocorrelation robust OLS-based tests
- Testing For and Dating Common Breaks in Multivariate Time Series
- Tests for Parameter Instability and Structural Change With Unknown Change Point
- The distance between rival nonstationary fractional processes
- The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis
- THE NONSTATIONARY FRACTIONAL UNIT ROOT
- Unit root tests allowing for a break in the trend function at an unknown time under both the null and alternative hypotheses
Cited in
(13)- A simple test on structural change in long-memory time series
- Estimation of a level shift in panel data with fractionally integrated errors
- Estimating multiple breaks in mean sequentially with fractionally integrated errors
- Inference on a structural break in trend with mildly integrated errors
- A note on estimating a structural change in persistence
- Pre and post break parameter inference
- Structural breaks with deterministic and stochastic trends
- A comparison of alternative asymptotic frameworks to analyse a structural change in a linear time trend
- scientific article; zbMATH DE number 1475337 (Why is no real title available?)
- 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 note on asymptotic properties of time series models with a trend break
- The modified conditional sum-of-squares estimator for fractionally integrated models
This page was built for publication: Inference on a structural break in trend with fractionally integrated errors
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2815049)
