Recursive predictive tests for structural change of long-memory ARFIMA processes with unknown break points

DOI10.1016/j.econlet.2012.11.011zbMath1268.91180OpenAlexW2067861904MaRDI QIDQ356616

Shin-Huei Wang, Chrysovalantis Vasilakis

Publication date: 26 July 2013

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.econlet.2012.11.011

zbMATH Keywords

long memorystructural breakspredictive tests

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Statistical methods; risk measures (91G70) Non-Markovian processes: hypothesis testing (62M07)

Related Items (2)

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Cites Work

• Consistent autoregressive spectral estimates
• Linear prediction by autoregressive model fitting in the time domain
• Testing for structural change in a long-memory environment
• Long memory processes and fractional integration in econometrics
• Asymptotic distributions of the sample mean, autocovariances, and autocorrelations of long-memory time series
• Autoregressive approximation in nonstandard situations: the fractionally integrated and non-invertible cases
• Change‐Point Estimation of Fractionally Integrated Processes

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