Testing for a break in trend when the order of integration is unknown

DOI10.1016/j.jeconom.2013.03.008zbMath1284.62527OpenAlexW1972344018MaRDI QIDQ2442575

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

Publication date: 4 April 2014

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

Full work available at URL: https://doi.org/10.1016/j.jeconom.2013.03.008

zbMATH Keywords

fractional integrationtrend breaksup-Wald statistic

Mathematics Subject Classification ID

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

Related Items

Robust testing of time trend and mean with unknown integration order errors, A modified test against spurious long memory, Testing for a change in mean under fractional integration, Testing for a break in trend when the order of integration is unknown, Extensions of some classical methods in change point analysis, TESTING THE ORDER OF FRACTIONAL INTEGRATION OF A TIME SERIES IN THE POSSIBLE PRESENCE OF A TREND BREAK AT AN UNKNOWN POINT, A simple test on structural change in long-memory time series, Inference on a Structural Break in Trend with Fractionally Integrated Errors, Robust discrimination between long‐range dependence and a change in mean

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