Inference on a Structural Break in Trend with Fractionally Integrated Errors-Reference-Cited by-同舟云学术

Inference on a Structural Break in Trend with Fractionally Integrated Errors

Published:2016-01-05 Issue:4 Volume:37 Page:555-574
ISSN:0143-9782
Container-title:Journal of Time Series Analysis
language:en
Short-container-title:J. Time Ser. Anal.

Author:

Chang Seong Yeon¹,Perron Pierre²

Affiliation:

1. Wang Yanan Institute for Studies in Economics, MOE Key Laboratory of Econometrics, Fujian Key Laboratory of Statistical Science; Xiamen University; Xiamen Fujian China

2. Department of Economics; Boston University; Boston MA USA

Publisher

Wiley

Subject

Applied Mathematics,Statistics, Probability and Uncertainty,Statistics and Probability

Link

http://onlinelibrary.wiley.com/wol1/doi/10.1111/jtsa.12176/fullpdf

Reference42 articles.

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2. Optimal tests when a nuisance parameter is present only under the alternative;Andrews;Econometrica,1994

3. Least squares estimation of a shift in linear processes;Bai;Journal of Time Series Analysis,1994

4. Estimation of a change point in multiple regressions;Bai;Review of Economics and Statistics,1997

5. A note on spurious break;Bai;Econometric Theory,1998

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