Change point estimation in regressions with \(I(d)\) variables.

DOI10.1016/S0165-1765(00)00361-XzbMath1110.62331OpenAlexW2032452969MaRDI QIDQ5940733

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Publication date: 20 August 2001

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0165-1765(00)00361-x

zbMATH Keywords

Change point estimationFractional Brownian motionSpurious change

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cites Work

• Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
• The spurious regression of fractionally integrated processes
• The effect of serial correlation on tests for parameter change at unknown time
• Tests for Parameter Instability and Structural Change With Unknown Change Point
• Law of the iterated logarithm for sums of non-linear functions of Gaussian variables that exhibit a long range dependence
• Change‐Point Estimation of Fractionally Integrated Processes
• Optimal Tests when a Nuisance Parameter is Present Only Under the Alternative
• LEAST SQUARES ESTIMATION OF A SHIFT IN LINEAR PROCESSES

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