Testing for a break in persistence under long-range dependencies
Year of publication: |
2007-11-01
|
---|---|
Authors: | Sibbertsen, Philipp ; Kruse, Robinson |
Institutions: | Universität <Hannover> / Wirtschaftswissenschaftliche Fakultät |
Subject: | Zeitreihe | Long-memory-Prozess | Ausdauer |
-
Testing for threshold effect in ARFIMA models:Application to US unemployment rate data
Lahiani, A., (2008)
-
A study on spurious long memory in nonlinear time series models
Kuswanto, Heri, (2008)
-
A new simple test against spurious long memory using temporal aggregation
Kuswanto, Heri, (2009)
- More ...
-
Long memory and changing persistence
Kruse, Robinson, (2010)
-
Identication problems in ESTAR models anda new model
Donauer, Stefanie, (2010)
-
Two competitive models and theiridentication problem:the ESTAR and TSTAR model
Heinen, Florian, (2011)
- More ...