MEMORY PARAMETER ESTIMATION IN THE PRESENCE OF LEVEL SHIFTS AND DETERMINISTIC TRENDS

DOI10.1017/S0266466613000042zbMath1290.62084MaRDI QIDQ4979496

Adam McCloskey, Pierre Perron

Publication date: 23 June 2014

Published in: Econometric Theory (Search for Journal in Brave)

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Robustness and adaptive procedures (parametric inference) (62F35) Economic time series analysis (91B84)

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Cites Work

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