A multivariate long-memory model with structural breaks
نویسندگان
چکیده
منابع مشابه
Long-memory versus structural breaks: An overview
We discuss the increasing literature on misspecifying structural breaks or more general trends as long range dependence We consider tests on structural breaks in the long memory regression model as well as the behaviour of estimators of the memory parameter when structural breaks or trends are in the data but long memory is not It can be seen that it is hard to distinguish deterministic trends ...
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ژورنال
عنوان ژورنال: Journal of Statistical Computation and Simulation
سال: 2009
ISSN: 0094-9655,1563-5163
DOI: 10.1080/00949650802087011