A joint test of fractional integration and structural breaks at a known period of time
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Publication:4677037
DOI10.1111/j.1467-9892.2004.01882.xzbMath1062.62176OpenAlexW3124686784MaRDI QIDQ4677037
Publication date: 20 May 2005
Published in: Journal of Time Series Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/j.1467-9892.2004.01882.x
Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)
Related Items (4)
Modelling structural breaks, long memory and stock market volatility: an overview ⋮ A CUSUM test for a long memory heterogeneous autoregressive model ⋮ Likelihood based testing for no fractional cointegration ⋮ How can we Define the Concept of Long Memory? An Econometric Survey
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