Long memory versus structural breaks: an overview
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Cites work
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- Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
- Discrimination between monotonic trends and long-range dependence
- Efficient parameter estimation for self-similar processes
- Fractional Brownian Motions, Fractional Noises and Applications
- Fractional differencing
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- LEAST SQUARES ESTIMATION OF A SHIFT IN LINEAR PROCESSES
- Limit theorems on the self-normalized range for weakly and strongly dependent processes
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- Log-periodogram regression of time series with long range dependence
- Long memory and regime switching
- Memory and infrequent breaks
- Modeling and pricing long memory in stock market volatility
- Non-stationary log-periodogram regression
- Nonparametric M-estimation with long-memory errors
- Nonparametric regression under long-range dependent normal errors
- Nonparametric regression with long-range dependence
- ON ESTIMATION OF LONG-MEMORY TIME SERIES MODELS
- Optimal Tests when a Nuisance Parameter is Present Only Under the Alternative
- Testing for long memory in the presence of a general trend
- Testing for long‐range dependence in the presence of shifting means or a slowly declining trend, using a variance‐type estimator
- Testing for structural change in a long-memory environment
- The Cusum Test with Ols Residuals
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Cited in
(36)- On parameter estimation for locally stationary long-memory processes
- Log-periodogram estimation of the memory parameter of a long-memory process under trend.
- Memory and infrequent breaks
- Testing for structural change in a long-memory environment
- Long-memory property of nonlinear transformations of break processes
- Forecasting long memory time series when occasional breaks occur
- Distinguishing between breaks in the mean and breaks in persistence under long memory
- A CUSUM test for a long memory heterogeneous autoregressive model
- Testing structural breaks versus long memory with the Box-Pierce statistics: a Monte Carlo study
- Estimation methods for the LRD parameter under a change in the mean
- Modelling structural breaks, long memory and stock market volatility: an overview
- Testing for structural change in regression with long memory processes
- A new time-varying model for forecasting long-memory series
- Generalized wavelet Fisher's information of \(1 / f^\alpha\) signals
- On the behavior of fixed-b trend break tests under fractional integration
- Structural breaks in time series
- The sensitivity of detrended long-memory processes
- The S-estimator in the change-point random model with long memory
- An Empirical Strategy to Detect Spurious Effects in Long Memory and Occasional-Break Processes
- A multivariate long-memory model with structural breaks
- Fractional integration versus level shifts: the case of realized asset correlations
- Testing for a Structural Break at Unknown Date with Long-memory Disturbances
- Testing for a break in persistence under long-range dependencies and mean shifts
- Testing for long memory in the presence of a general trend
- Asymptotic behaviour of the LS estimator in a nonlinear model with long memory
- The functional central limit theorem and structural change test for the \(\mathrm{HAR}(\infty)\) model
- A new simple test against spurious long memory using temporal aggregation
- Long memory, realized volatility and heterogeneous autoregressive models
- Piecewise FARIMA models for long-memory time series
- A Monte Carlo investigation of unit root tests and long memory in detecting mean reversion in I(0) regime switching, structural break, and nonlinear data
- Detecting changes from short to long memory
- A unified theory for ARMA models with varying coefficients: one solution fits all
- Threshold estimation under strong dependence
- Monitoring persistence change in infinite variance observations
- Bootstrap testing for discontinuities under long-range dependence
- Lack of fit test for long memory regression models
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