A joint test of fractional integration and structural breaks at a known period of time

DOI10.1111/j.1467-9892.2004.01882.xzbMath1062.62176OpenAlexW3124686784MaRDI QIDQ4677037

Luis A. Gil-Alana

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

zbMATH Keywords

fractional integrationstructural breaksjoint testknown period of time

Mathematics Subject Classification ID

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

Cites Work

• Trends and random walks in macroeconomic time series
• Long memory relationships and the aggregation of dynamic models
• ASYMPTOTIC INFERENCE FOR NONSTATIONARY FRACTIONALLY INTEGRATED AUTOREGRESSIVE MOVING-AVERAGE MODELS
• Long memory and regime switching

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