ON THE BEHAVIOR OF FIXED-b TREND BREAK TESTS UNDER FRACTIONAL INTEGRATION

DOI10.1017/S0266466612000291zbMath1272.62057MaRDI QIDQ2847587

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

Publication date: 11 September 2013

Published in: Econometric Theory (Search for Journal in Brave)

Mathematics Subject Classification ID

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62G20: Asymptotic properties of nonparametric inference

62M07: Non-Markovian processes: hypothesis testing

Related Items

Robust discrimination between long‐range dependence and a change in mean, TESTING THE ORDER OF FRACTIONAL INTEGRATION OF A TIME SERIES IN THE POSSIBLE PRESENCE OF A TREND BREAK AT AN UNKNOWN POINT, Fixed Bandwidth Inference for Fractional Cointegration, Small‐b and Fixed‐b Asymptotics for Weighted Covariance Estimation in Fractional Cointegration, Inference on a Structural Break in Trend with Fractionally Integrated Errors, A FIXED-bTEST FOR A BREAK IN LEVEL AT AN UNKNOWN TIME UNDER FRACTIONAL INTEGRATION

Cites Work

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