Semiparametric Tests for the Order of Integration in the Possible Presence of Level Breaks

Cites Work

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Testing the null hypothesis of stationarity against the alternative of a unit root. How sure are we that economic time series have a unit root?
Local polynomial Whittle estimation of perturbed fractional processes
Local asymptotic powers of nonparametric and semiparametric tests for fractional integration
Fractionally integrated generalized autoregressive conditional heteroskedasticity
Estimating the dimension of a model
Log-periodogram regression of time series with long range dependence
Gaussian semiparametric estimation of long range dependence
Testing for the Presence of a Random Walk in Series with Structural Breaks
Least‐squares Estimation of an Unknown Number of Shifts in a Time Series
LOCAL WHITTLE ESTIMATION OF FRACTIONAL INTEGRATION FOR NONLINEAR PROCESSES
A NECESSARY MOMENT CONDITION FOR THE FRACTIONAL FUNCTIONAL CENTRAL LIMIT THEOREM
Local Whittle estimation of the memory parameter in presence of deterministic components
THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS
FURTHER COMMENTS ON STATIONARITY TESTS IN SERIES WITH STRUCTURAL BREAKS AT UNKNOWN POINTS
A Nonparametric Test for I(0)
LEAST SQUARES ESTIMATION OF A SHIFT IN LINEAR PROCESSES
Efficient Tests of Nonstationary Hypotheses
THE NONSTATIONARY FRACTIONAL UNIT ROOT
The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis
EFFICIENT LIKELIHOOD INFERENCE IN NONSTATIONARY UNIVARIATE MODELS
TESTING THE ORDER OF FRACTIONAL INTEGRATION OF A TIME SERIES IN THE POSSIBLE PRESENCE OF A TREND BREAK AT AN UNKNOWN POINT
Fractional Invariance Principle
Long memory and regime switching
Semiparametric fractional cointegration analysis

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