ON THE BEHAVIOR OF FIXED-b TREND BREAK TESTS UNDER FRACTIONAL INTEGRATION
From MaRDI portal
Publication:2847587
DOI10.1017/S0266466612000291zbMath1272.62057MaRDI QIDQ2847587
A. M. Robert Taylor, Stephen J. Leybourne, Fabrizio Iacone
Publication date: 11 September 2013
Published in: Econometric Theory (Search for Journal in Brave)
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of nonparametric inference (62G20) Non-Markovian processes: hypothesis testing (62M07)
Related Items
A FIXED-bTEST FOR A BREAK IN LEVEL AT AN UNKNOWN TIME UNDER FRACTIONAL INTEGRATION, TESTING THE ORDER OF FRACTIONAL INTEGRATION OF A TIME SERIES IN THE POSSIBLE PRESENCE OF A TREND BREAK AT AN UNKNOWN POINT, Inference on a Structural Break in Trend with Fractionally Integrated Errors, Fixed Bandwidth Inference for Fractional Cointegration, Robust discrimination between long‐range dependence and a change in mean, Small‐b and Fixed‐b Asymptotics for Weighted Covariance Estimation in Fractional Cointegration
Cites Work
- Structural breaks with deterministic and stochastic trends
- Cointegration in fractional systems with deterministic trends
- Nonstationarity-extended local Whittle estimation
- Alternative forms of fractional Brownian motion
- Weak convergence of multivariate fractional processes
- Long memory versus structural breaks: an overview
- A NECESSARY MOMENT CONDITION FOR THE FRACTIONAL FUNCTIONAL CENTRAL LIMIT THEOREM
- TESTING FOR A SHIFT IN TREND AT AN UNKNOWN DATE: A FIXED-B ANALYSIS OF HETEROSKEDASTICITY AUTOCORRELATION ROBUST OLS-BASED TESTS
- SIMPLE, ROBUST, AND POWERFUL TESTS OF THE BREAKING TREND HYPOTHESIS
- TESTING FOR A UNIT ROOT IN THE PRESENCE OF A POSSIBLE BREAK IN TREND
- Optimal Tests when a Nuisance Parameter is Present Only Under the Alternative
- The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis
- Heteroskedasticity-Autocorrelation Robust Standard Errors Using The Bartlett Kernel Without Truncation
