Recursive predictive tests for structural change of long-memory ARFIMA processes with unknown break points
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Publication:356616
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
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Statistical methods; risk measures (91G70) Non-Markovian processes: hypothesis testing (62M07)
Related Items (2)
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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