Testing for structural change in regression with long memory processes

DOI10.1016/j.jeconom.2004.09.011zbMath1337.62222OpenAlexW2086898238MaRDI QIDQ265120

Štěpána Lazarová

Publication date: 1 April 2016

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

Full work available at URL: http://repec.org/esNAWM04/up.29093.1049208655.pdf

zbMATH Keywords

bootstraplong memorystructural change

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Bootstrap, jackknife and other resampling methods (62F40) Non-Markovian processes: hypothesis testing (62M07) Asymptotic properties of parametric tests (62F05)

Related Items

Modelling structural breaks, long memory and stock market volatility: an overview ⋮ A simple test of changes in mean in the possible presence of long-range dependence ⋮ Structural changes estimation for strongly dependent processes ⋮ Bootstrap testing for discontinuities under long-range dependence ⋮ Structural breaks in time series ⋮ The S-estimator in the change-point random model with long memory

Uses Software

• bootstrap

Cites Work

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