Testing for fractional cointegration in subsamples by allowing for structural breaks

DOI10.1016/J.SPL.2025.110518MaRDI QIDQ6880890zbMATH OpenFDO

Authors Tom Jannik Kreye

Publication date 18 December 2025

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/J.SPL.2025.110518

zbMATH Keywords

fractional cointegrationlong memoryMonte Carlopersistence breaksstructural breakssubsample analysis

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Cites work

• A RESIDUAL-BASED LM-TYPE TEST AGAINST FRACTIONAL COINTEGRATION
• Alternative forms of fractional Brownian motion
• Asymptotic normality of narrow-band least squares in the stationary fractional cointegration model and volatility forecasting
• Co-Integration and Error Correction: Representation, Estimation, and Testing
• Cointegration analysis in the presence of structural breaks in the deterministic trend
• Cointegration in Fractional Systems with Unknown Integration Orders
• Detection of change in persistence of a linear time series
• Determination of cointegrating rank in fractional systems.
• DISTRIBUTION-FREE TESTS OF FRACTIONAL COINTEGRATION
• scientific article; zbMATH DE number 795280 (Why is no real title available?)
• Optimal changepoint tests for normal linear regression
• Residual-based test for fractional cointegration
• Statistical analysis of cointegration vectors
• Testing for a break in persistence under long-range dependencies
• Testing for a change of the long-memory parameter
• Tests for cointegration with structural breaks based on subsamples
• Tests of cointegrating rank with trend-break
• Weak convergence of multivariate fractional processes

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