LM Tests for Joint Breaks in the Dynamics and Level of a Long-Memory Time Series-Reference-Cited by-同舟云学术

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LM Tests for Joint Breaks in the Dynamics and Level of a Long-Memory Time Series

Published:2021-01-12 Issue: Volume: Page:1-22
ISSN:0735-0015
Container-title:Journal of Business & Economic Statistics
language:en
Short-container-title:Journal of Business & Economic Statistics

Author:

Dolado Juan J.¹,Rachinger Heiko²^ORCID,Velasco Carlos³

Affiliation:

1. Department of Economics, Universidad Carlos III de Madrid and CEPR, Madrid, Spain;

2. Department of Applied Economics, Universitat de les Illes Balears, Palma de Mallorca, Spain;

3. Department of Economics, Universidad Carlos III de Madrid, Madrid, Spain

Funder

Ministerio de Economía y Competitividad

Comunidad de Madrid

Publisher

Informa UK Limited

Subject

Statistics, Probability and Uncertainty,Economics and Econometrics,Social Sciences (miscellaneous),Statistics and Probability

Link

https://www.tandfonline.com/doi/pdf/10.1080/07350015.2020.1855184

Reference52 articles.

1. Nonstationarity-extended local Whittle estimation

2. Structural breaks in time series

3. Estimating and Testing Linear Models with Multiple Structural Changes

4. The Message in Daily Exchange Rates: A Conditional-Variance Tale

5. The long memory of the forward premium

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