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

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of nonparametric inference (62G20) Non-Markovian processes: hypothesis testing (62M07)

Related Items

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

Cites Work

• Structural breaks with deterministic and stochastic trends
• Cointegration in fractional systems with deterministic trends
• Nonstationarity-extended local Whittle estimation
• Alternative forms of fractional Brownian motion
• Weak convergence of multivariate fractional processes
• Long memory versus structural breaks: an overview
• A NECESSARY MOMENT CONDITION FOR THE FRACTIONAL FUNCTIONAL CENTRAL LIMIT THEOREM
• TESTING FOR A SHIFT IN TREND AT AN UNKNOWN DATE: A FIXED-B ANALYSIS OF HETEROSKEDASTICITY AUTOCORRELATION ROBUST OLS-BASED TESTS
• SIMPLE, ROBUST, AND POWERFUL TESTS OF THE BREAKING TREND HYPOTHESIS
• TESTING FOR A UNIT ROOT IN THE PRESENCE OF A POSSIBLE BREAK IN TREND
• Optimal Tests when a Nuisance Parameter is Present Only Under the Alternative
• The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis
• Heteroskedasticity-Autocorrelation Robust Standard Errors Using The Bartlett Kernel Without Truncation