Fractional integration and structural breaks at unknown periods of time

DOI10.1111/j.1467-9892.2007.00550.xzbMath1165.62065OpenAlexW2171105426MaRDI QIDQ3608192

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

zbMATH Keywords

long memorystructural changedeterministic trends

Mathematics Subject Classification ID

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)

Related Items (14)

Piecewise FARIMA models for long-memory time series ⋮ Statistical tests for a single change in mean against long-range dependence ⋮ Infant mortality rates: time trends and fractional integration ⋮ Detecting changes from short to long memory ⋮ 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 ⋮ An Empirical Strategy to Detect Spurious Effects in Long Memory and Occasional-Break Processes ⋮ Deterministic versus stochastic seasonal fractional integration and structural breaks ⋮ Inference on a Structural Break in Trend with Fractionally Integrated Errors ⋮ Structural changes estimation for strongly dependent processes ⋮ A multivariate long-memory model with structural breaks ⋮ Modelling the US, UK and Japanese unemployment rates: fractional integration and structural breaks ⋮ Bootstrap testing for discontinuities under long-range dependence ⋮ Modelling long-run trends and cycles in financial time series data

Cites Work

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• Long memory relationships and the aggregation of dynamic models
• Estimating the dimension of a model
• Gaussian semiparametric estimation of long range dependence
• Testing for a change of the long-memory parameter
• Change‐Point Estimation of Fractionally Integrated Processes
• Efficient Tests of Nonstationary Hypotheses
• Estimating and Testing Linear Models with Multiple Structural Changes
• The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis
• An exponential model for the spectrum of a scalar time series
• Long memory and regime switching

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