Semiparametric tests for the order of integration in the possible presence of level breaks
Fabrizio Iacone, Morten Ørregaard Nielsen, and A. M. Robert Taylor
| Year of publication: |
2022
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| Authors: | Iacone, Fabrizio ; Nielsen, Morten Ørregaard ; Taylor, Robert |
| Published in: |
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association. - Abingdon : Taylor & Francis, ISSN 1537-2707, ZDB-ID 2043744-4. - Vol. 40.2022, 2, p. 880-896
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| Subject: | Fractional integration | Conditional heteroscedasticity | Lagrange multiplier testing principle | Level breaks | Local Whittle likelihood | Spurious long memory | Zeitreihenanalyse | Time series analysis | Strukturbruch | Structural break | Schätztheorie | Estimation theory | Nichtparametrisches Verfahren | Nonparametric statistics |
freely available
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/07350015.2021.1876712 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013534577