Testing for a change in mean under fractional integration
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Cites work
- A NEW ASYMPTOTIC THEORY FOR HETEROSKEDASTICITY-AUTOCORRELATION ROBUST TESTS
- A fixed-\(b\) test for a break in level at an unknown time under fractional integration
- A simple test of changes in mean in the possible presence of long-range dependence
- A test against spurious long memory
- Alternative forms of fractional Brownian motion
- Change-in-mean problem for long memory time series models with applications
- Changes of structure in financial time series and the GARCH model
- Local Whittle estimation of the memory parameter in presence of deterministic components
- Long memory and regime switching
- On discriminating between long-range dependence and changes in mean
- Testing for a break in trend when the order of integration is unknown
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