Fractional integration and structural breaks at unknown periods of time

DOI10.1111/J.1467-9892.2007.00550.XMaRDI QIDQ3608192zbMATHOpenAlexFDO

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

zbMATH Keywords

long memorydeterministic trendsstructural change

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)

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Cites work

• scientific article; zbMATH DE number 3609018 (Why is no real title available?)
• An exponential model for the spectrum of a scalar time series
• Change‐Point Estimation of Fractionally Integrated Processes
• Efficient Tests of Nonstationary Hypotheses
• Estimating and Testing Linear Models with Multiple Structural Changes
• Estimating the dimension of a model
• Gaussian semiparametric estimation of long range dependence
• Long memory and regime switching
• Long memory relationships and the aggregation of dynamic models
• Testing for a change of the long-memory parameter
• The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis

Cited in

(20)

• Fractional integration and deterministic trends. An investigation and an illustration with the US GNP
• LM Tests for Joint Breaks in the Dynamics and Level of a Long-Memory Time Series
• Deterministic versus stochastic seasonal fractional integration and structural breaks
• Bootstrap testing for discontinuities under long-range dependence
• Modelling the US, UK and Japanese unemployment rates: fractional integration and structural breaks
• Structural changes estimation for strongly dependent processes
• Not all estimators are born equal: the empirical properties of some estimators of long memory
• A mean shift break in the US interest rate.
• Inference on a structural break in trend with fractionally integrated errors
• A multivariate long-memory model with structural breaks
• A joint test of fractional integration and structural breaks at a known period of time
• Structural change and the order of integration in univariate time series
• Infant mortality rates: time trends and fractional integration
• Detecting changes from short to long memory
• The stochastic permanent break model and the fractional integration hypothesis
• Statistical tests for a single change in mean against long-range dependence
• Piecewise FARIMA models for long-memory time series
• A CUSUM test for a long memory heterogeneous autoregressive model
• Modelling long-run trends and cycles in financial time series data
• An Empirical Strategy to Detect Spurious Effects in Long Memory and Occasional-Break Processes

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