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Inference on a Structural Break in Trend with Fractionally Integrated Errors
16 references·2 citing·32 second hop
Inference on a Structural Break in Trend with Fractionally Integrated Errors (2016)Inference on a Structural Break in Trend …Testing for Shifts in Trend With an Integrated or Stationary Noise Component (2009)Testing for Shifts in Trend W…Unit root tests allowing for a break in the trend function at an unknown time under both the null and alternative hypotheses (2008)Unit root tests allowing for …Fractional integration and structural breaks at unknown periods of time (2007)Fractional integration and st…Dealing with Structural Breaks (2005)Dealing with Structural BreaksLeast‐squares Estimation of an Unknown Number of Shifts in a Time Series (2000)Least‐squares Estimation of a…Alternative forms of fractional Brownian motion (1999)Alternative forms of fraction…Testing For and Dating Common Breaks in Multivariate Time Series (1998)Testing For and Dating Common…Estimation of a Change Point in Multiple Regression Models (1997)Estimation of a Change Point …LEAST SQUARES ESTIMATION OF A SHIFT IN LINEAR PROCESSES (1994)LEAST SQUARES ESTIMATION OF A…Tests for Parameter Instability and Structural Change With Unknown Change Point (1993)Tests for Parameter Instabili…Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation (1991)Heteroskedasticity and Autoco…The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis (1989)The Great Crash, the Oil Pric…Fractional Differencing (1981)Fractional DifferencingAN INTRODUCTION TO LONG‐MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING (1980)AN INTRODUCTION TO LONG‐MEMOR…Distribution of the Estimators for Autoregressive Time Series With a Unit Root (1979)Distribution of the Estimator…Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Distribution of the Estimator…Unit Roots and Structural Breaks (2017)Unit Roots and Structural Bre…Fractional Unit Root Tests Allowing for a Structural Change in Trend under Both the Null and Alternative Hypotheses (2017)Fractional Unit Root Tests Al…Inference About the Change-Point in a Sequence of Random Variables (1970)The New Econometrics of Structural Change: Dating Breaks in U.S. Labor Productivity (2001)Do Police Reduce Crime? Estimates Using the Allocation of Police Forces After a Terrorist Attack (2004)Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)Testing for a Unit Root in Time Series Regression (1988)Modelling Nonlinear Economic Time Series (2010)Structural breaks in time series (2012)The impact of economic growth on CO2 emissions in Azerbaijan (2018)A Monetary History of the United States 1867-1960 (1964)Time Series Analysis Forecasting and Control. (1971)Time Series Analysis: Forecasting and Control (1977)Statistical analysis of cointegration vectors (1988)Bounds testing approaches to the analysis of level relationships (2001)Fractional Brownian Motions, Fractional Noises and Applications (1968)Some properties of time series data and their use in econometric model specification (1981)THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS (1983)A long memory property of stock market returns and a new model (1993)Time Series Regression with a Unit Root (1987)Automatic Lag Selection in Covariance Matrix Estimation (1994)Emerging equity market volatility (1997)Bayesian Analysis of Stochastic Volatility Models (2002)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)The Dynamic Effects of Aggregate Demand and Supply Disturbances (1988)ARCH modeling in finance (1992)Testing for the Constancy of Parameters Over Time (1989)Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis (1992)What is an Oil Shock? (2000)Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis (2002)Sample Splitting and Threshold Estimation (2000)Testing for unit roots in heterogeneous panels (2003)Fractionally integrated generalized autoregressive conditional heteroskedasticity (1996)Long memory processes and fractional integration in econometrics (1996)
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References

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  • 1979Distribution of the Estimators for Autoregressive Time Series With a Unit Root9,128 cited
  • 1989The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis7,685 cited
  • 1993Tests for Parameter Instability and Structural Change With Unknown Change Point4,325 cited
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  • 1980AN INTRODUCTION TO LONG‐MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING3,376 cited
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  • 1999Alternative forms of fractional Brownian motion289 cited
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  • 2009Testing for Shifts in Trend With an Integrated or Stationary Noise Component

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271 cited
  • 2007Fractional integration and structural breaks at unknown periods of time251 cited
  • Cited by

    • 2017Fractional Unit Root Tests Allowing for a Structural Change in Trend under Both the Null and Alternative Hypotheses15 cited
    • 2017Unit Roots and Structural Breaks15 cited