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Testing for structural change in a long-memory environment · Study

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ArticleTesting for structural change in a long-memory environment

Javier Hidalgo1996

Article1996

Testing for structural change in a long-memory environment

Javier Hidalgo · Peter M. Robinson

107 citations·0/0 files stored·Journal of Econometrics

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Monetary Policy and Economic Impact Advanced Statistical Methods and Models Complex Systems and Time Series Analysis

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References

1983THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS 1995Gaussian Semiparametric Estimation of Long Range Dependence 1995Log-Periodogram Regression of Time Series with Long Range Dependence 1975Weak convergence to fractional brownian motion and to the rosenblatt process 1989Long memory and persistence in aggregate output 1987Tests for Hurst Effect 1994Semiparametric Analysis of Long-Memory Time Series 1991Real Exchange Rates under the Gold Standard

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2002Bayesian methods for change‐point detection in long‐range dependent processes 2005Volatility comovement: a multifrequency approach 2007Long memory and structural changes in the forward discount: An empirical investigation 2005How can we Define the Concept of Long Memory? An Econometric Survey 2009Nonlinearity and temporal dependence 2005Level Shifts and the Illusion of Long Memory in Economic Time Series

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Year1996

Typearticle

Published1996-01-01

VenueJournal of Econometrics

ISSN-L0304-4076

Languageen

Citations107

Files0 public / 0

ShelfMonetary Policy and Economic Impact

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doi10.1016/0304-4076(94)01687-9

openalex_workW2104593563

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2004Long memory versus structural breaks: An overview

2000Long Memory and Regime Switching