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

DOI10.1016/J.JECONOM.2013.03.008MaRDI QIDQ2442575zbMATH OpenOpenAlexFDO

Authors Fabrizio Iacone, A. M. Robert Taylor, Stephen 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)

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Cites work

• scientific article; zbMATH DE number 3274494 (Why is no real title available?)
• Alternative forms of fractional Brownian motion
• An I(d) model with trend and cycles
• Cointegration in Fractional Systems with Unknown Integration Orders
• Cointegration in fractional systems with deterministic trends
• EXACT LOCAL WHITTLE ESTIMATION OF FRACTIONAL INTEGRATION WITH UNKNOWN MEAN AND TIME TREND
• Efficiency improvements in inference on stationary and nonstationary fractional time series
• Local Whittle estimation of fractional integration and some of its variants
• Nonstationarity-extended local Whittle estimation
• SIMPLE, ROBUST, AND POWERFUL TESTS OF THE BREAKING TREND HYPOTHESIS
• Testing for a Structural Break at Unknown Date with Long-memory Disturbances
• Testing for a break in trend when the order of integration is unknown
• Testing for the presence of a random walk in series with structural breaks
• Tests for Parameter Instability and Structural Change With Unknown Change Point
• The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis
• The distance between rival nonstationary fractional processes
• Weak convergence of multivariate fractional processes

Cited in

(15)

• A fixed-\(b\) test for a break in level at an unknown time under fractional integration
• Extensions of some classical methods in change point analysis
• Testing for a break in trend when the order of integration is unknown
• Robust discrimination between long-range dependence and a change in mean
• Inference on a structural break in trend with fractionally integrated errors
• LM Tests for Joint Breaks in the Dynamics and Level of a Long-Memory Time Series
• A modified test against spurious long memory
• Improving the length of confidence sets for the date of a break in level and trend when the order of integration is unknown
• A simple test on structural change in long-memory time series
• Testing the order of fractional integration of a time series in the possible presence of a trend break at an unknown point
• Robust testing of time trend and mean with unknown integration order errors
• Testing for a change in mean under fractional integration
• Testing for a break at an unknown change-point: A test with known size in small samples
• On the behavior of fixed-\(b\) trend break tests under fractional integration
• A sequential procedure to determine the number of breaks in trend with an integrated or stationary noise component

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