Inference on a Structural Break in Trend with Fractionally Integrated Errors

DOI10.1111/jtsa.12176zbMath1359.62360OpenAlexW2230768656MaRDI QIDQ2815049

Seong Yeon Chang, Pierre Perron

Publication date: 27 June 2016

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://hdl.handle.net/2144/26265

zbMATH Keywords

structural changelinear trendfractionally integrated processsegmented trendspurious break

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20)

Related Items

Inference on a structural break in trend with mildly integrated errors ⋮ TESTING THE ORDER OF FRACTIONAL INTEGRATION OF A TIME SERIES IN THE POSSIBLE PRESENCE OF A TREND BREAK AT AN UNKNOWN POINT ⋮ A simple test on structural change in long-memory time series ⋮ Estimating multiple breaks in mean sequentially with fractionally integrated errors ⋮ Robust discrimination between long‐range dependence and a change in mean

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