Testing for a change in mean under fractional integration
DOI10.1515/JTSE-2015-0006zbMATH Open1499.62289OpenAlexW2504788626MaRDI QIDQ1695680FDOQ1695680
Authors: Fabrizio Iacone, Stephen Leybourne, A. M. Robert Taylor 
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
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Cites Work
- A simple test of changes in mean in the possible presence of long-range dependence
- Change-in-mean problem for long memory time series models with applications
- Alternative forms of fractional Brownian motion
- Testing for a break in trend when the order of integration is unknown
- On discriminating between long-range dependence and changes in mean
- A fixed-\(b\) test for a break in level at an unknown time under fractional integration
- A test against spurious long memory
- Long memory and regime switching
- Changes of structure in financial time series and the GARCH model
- A NEW ASYMPTOTIC THEORY FOR HETEROSKEDASTICITY-AUTOCORRELATION ROBUST TESTS
- Local Whittle estimation of the memory parameter in presence of deterministic components
Cited In (3)
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