Change-point estimation of nonstationary \(I(d)\) processes
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Publication:1934679
DOI10.1016/j.econlet.2007.04.018zbMath1255.62233MaRDI QIDQ1934679
Publication date: 29 January 2013
Published in: Economics Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.econlet.2007.04.018
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Cites Work
- The law of the iterated logarithm for self-similar processes represented by multiple Wiener integrals
- The Fractional Unit Root Distribution
- Fractional differencing
- AN INTRODUCTION TO LONG-MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING
- Law of the iterated logarithm for sums of non-linear functions of Gaussian variables that exhibit a long range dependence
- Change‐Point Estimation of Fractionally Integrated Processes
- LEAST SQUARES ESTIMATION OF A SHIFT IN LINEAR PROCESSES