Fractional integration and structural breaks at unknown periods of time
نویسندگان
چکیده
منابع مشابه
Fractional integration and structural breaks at unknown periods of time
This paper deals with the analysis of structural breaks in the context of fractionally integrated models. We assume that the break dates are unknown and that the different sub-samples possess different intercepts, slope coefficients and fractional orders of integration. The procedure is based on linear regression models using a grid of values for the fractional differencing parameters and least...
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In this paper we use a general procedure to detect structural breaks at unknown points in time which allows for different orders of integration and deterministic components in each subsample (see Gil-Alana, 2006). First, we extend it to the non-linear case, and show by means of Monte Carlo experiments that the procedure performs well in a non-linear environment. Second, we apply it to test for ...
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ژورنال
عنوان ژورنال: Journal of Time Series Analysis
سال: 2007
ISSN: 0143-9782
DOI: 10.1111/j.1467-9892.2007.00550.x