The stochastic permanent break model and the fractional integration hypothesis

DOI10.1023/B:CSEM.0000026794.43145.FCzbMath1092.62584OpenAlexW2007363924MaRDI QIDQ702239

Luis A. Gil-Alana

Publication date: 17 January 2005

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

Full work available at URL: https://doi.org/10.1023/b:csem.0000026794.43145.fc

zbMATH Keywords

long memoryFractional integrationstructural change

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: hypothesis testing (62M07)

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