Inference on a Structural Break in Trend with Fractionally Integrated Errors
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Publication:2815049
DOI10.1111/jtsa.12176zbMath1359.62360MaRDI QIDQ2815049
Pierre Perron, Seong Yeon Chang
Publication date: 27 June 2016
Published in: Journal of Time Series Analysis (Search for Journal in Brave)
Full work available at URL: https://hdl.handle.net/2144/26265
62F12: Asymptotic properties of parametric estimators
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
62E20: Asymptotic distribution theory in statistics
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