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~person:"Delle Monache, Davide"
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Fractional Integration
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KPSS test
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Level Shifts
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Delle Monache, Davide
Caporale, Guglielmo Maria
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Gil-Alaña, Luis A.
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Nielsen, Morten Ørregaard
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Level shifts and long memory: A state space approach
Delle Monache, Davide
;
Grassi, Stefano
;
Santucci de …
-
2015
leads to a robust estimate of the
fractional
integration
parameter also in presence of level shifts. Once the memory …
Persistent link: https://www.econbiz.de/10011445294
Saved in:
2
Level shifts and long memory : a state space approach
Delle Monache, Davide
;
Grassi, Stefano
;
Santucci de …
-
2015
leads to a robust estimate of the
fractional
integration
parameter also in presence of level shifts. Once the memory …
Persistent link: https://www.econbiz.de/10011287069
Saved in:
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