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ArticleChange point estimation in regressions with I(d) variables

Chih-Chiang Hsu2001

Article2001

Change point estimation in regressions with I(d) variables

Chih-Chiang Hsu

22 citations·0/0 files stored·Economics Letters

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Monetary Policy and Economic Impact Advanced Statistical Methods and Models Statistical and numerical algorithms

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References

1993Tests for Parameter Instability and Structural Change With Unknown Change Point 1991Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation 1997Estimation of a Change Point in Multiple Regression Models 1994LEAST SQUARES ESTIMATION OF A SHIFT IN LINEAR PROCESSES 2000The spurious regression of fractionally integrated processes 1993The Effect of Serial Correlation on Tests for Parameter Change at Unknown Time 1995Spurious Break 1998A NOTE ON SPURIOUS BREAK

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2007Basis Convergence and Long Memory in Volatility When Dynamic Hedging with Futures 2015Inflation Persistence Before and After Inflation Targeting: A Fractional Integration Approach

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Year2001

Typearticle

Published2001-02-01

VenueEconomics Letters

ISSN-L0165-1765

Languageen

Citations22

Files0 public / 0

ShelfMonetary Policy and Economic Impact

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doi10.1016/s0165-1765(00)00361-x

openalex_workW2032452969

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