Testing for Fractional Integration Versus Short Memory with Structural Breaks*
Author:
Publisher
Wiley
Subject
Statistics, Probability and Uncertainty,Economics and Econometrics,Social Sciences (miscellaneous),Statistics and Probability
Link
http://onlinelibrary.wiley.com/wol1/doi/10.1111/j.1468-0084.2011.00645.x/fullpdf
Reference68 articles.
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3. ‘An improved heteroskedasticity and autocorrelation consistent covariance matrix estimator’;Andrews;Econometrica,1992
4. ‘Optimal tests when a nuisance parameter is present only under the alternative’;Andrews;Econometrica,1994
5. ‘Likelihood ratio tests for multiple structural changes’;Bai;Journal of Econometrics,1999
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