Fractional integration and structural breaks at unknown periods of time
DOI10.1111/J.1467-9892.2007.00550.XzbMATH Open1165.62065OpenAlexW2171105426MaRDI QIDQ3608192FDOQ3608192
Authors: Luis A. Gil-Alana 
Publication date: 28 February 2009
Published in: Journal of Time Series Analysis (Search for Journal in Brave)
Full work available at URL: http://www.unav.edu/documents/10174/6546776/1188405693_WP_Gil_Alana_01.pdf
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Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) General considerations in statistical decision theory (62C05)
Cites Work
- Estimating the dimension of a model
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- Gaussian semiparametric estimation of long range dependence
- Testing for a change of the long-memory parameter
- Efficient Tests of Nonstationary Hypotheses
- Long memory and regime switching
- Long memory relationships and the aggregation of dynamic models
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- Change‐Point Estimation of Fractionally Integrated Processes
- The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis
- An exponential model for the spectrum of a scalar time series
Cited In (20)
- A mean shift break in the US interest rate.
- Modelling the US, UK and Japanese unemployment rates: fractional integration and structural breaks
- A CUSUM test for a long memory heterogeneous autoregressive model
- Not all estimators are born equal: the empirical properties of some estimators of long memory
- The stochastic permanent break model and the fractional integration hypothesis
- Deterministic versus stochastic seasonal fractional integration and structural breaks
- Infant mortality rates: time trends and fractional integration
- Structural changes estimation for strongly dependent processes
- A multivariate long-memory model with structural breaks
- Inference on a structural break in trend with fractionally integrated errors
- Piecewise FARIMA models for long-memory time series
- LM Tests for Joint Breaks in the Dynamics and Level of a Long-Memory Time Series
- Fractional integration and deterministic trends. An investigation and an illustration with the US GNP
- Bootstrap testing for discontinuities under long-range dependence
- An Empirical Strategy to Detect Spurious Effects in Long Memory and Occasional-Break Processes
- Structural change and the order of integration in univariate time series
- Detecting changes from short to long memory
- Modelling long-run trends and cycles in financial time series data
- Statistical tests for a single change in mean against long-range dependence
- A joint test of fractional integration and structural breaks at a known period of time
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