This paper proposes a test statistic for the null hypothesis that a given time series is a stationary long memory process against the alternative hypothesis that it is of short memory, affected by regime change or a smoothly varying trend. The proposed test is in the frequency domain and is...

We consider Johansen's (1988, 1991) cointegration tests when a Vector AutoRegressive (VAR) process of order k is used to approximate a more general linear process with a possibly infinite VAR representation. Traditional methods to select the lag order, such as Akaike's (AIC) or the Bayesian...

Most studies in the structural change literature focus solely on the conditional mean, while under various circumstances structural change in the conditional distribution or in conditional quantiles is of key importance. This paper proposes several tests for structural change in regression...

This paper considers the estimation of multiple structural changes occurring at unknown dates in one or multiple conditional quantile functions. The analysis covers time series models as well as models with repeated cross sections. We estimate the break dates and other parameters jointly by...