Semiparametric tests for the order of integration in the possible presence of level breaks
Year of publication: |
2022
|
---|---|
Authors: | Iacone, Fabrizio ; Nielsen, Morten Ørregaard ; Taylor, Robert |
Subject: | Fractional integration | Conditional heteroscedasticity | Lagrange multiplier testing principle | Level breaks | Local Whittle likelihood | Spurious long memory | Zeitreihenanalyse | Time series analysis | Schätztheorie | Estimation theory | Strukturbruch | Structural break | Einheitswurzeltest | Unit root test | Nichtparametrisches Verfahren | Nonparametric statistics |
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