Confidence sets for the date of a break in level and trend when the order of integration is unknown
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Publication:2343745
DOI10.1016/j.jeconom.2014.09.004zbMath1331.91139OpenAlexW2010092265MaRDI QIDQ2343745
David I. Harvey, Stephen J. Leybourne
Publication date: 6 May 2015
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: http://eprints.nottingham.ac.uk/32662/
Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84)
Related Items
Improving the length of confidence sets for the date of a break in level and trend when the order of integration is unknown ⋮ GLS estimation and confidence sets for the date of a single break in models with trends ⋮ Improved confidence sets for the date of a structural break
Cites Work
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