Testing for a change in mean under fractional integration

DOI10.1515/jtse-2015-0006zbMath1499.62289OpenAlexW2504788626MaRDI QIDQ1695680

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

Publication date: 7 February 2018

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

Full work available at URL: http://repository.essex.ac.uk/19922/1/Testing_for_a_Change_in_Mean_under_Fractional_Integration.pdf

zbMATH Keywords

fractional integrationWald statisticchange in mean

Mathematics Subject Classification ID

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

Related Items

Estimating multiple breaks in mean sequentially with fractionally integrated errors, Robust discrimination between long‐range dependence and a change in mean

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