Estimating the Fractionally Integrated Model with a Break in the Differencing Parameter

This note examines a new problem in the structural-change literature. A fractionally integrated model is assumed to experience a change in the differencing parameter at an unknown time. We develop consistent estimators of the change point and the pre- and post-shift differencing parameters.

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Year of publication:	2007
Authors:	Chong, Terence Tai-Leung
Published in:	Economics Bulletin. - AccessEcon, ISSN 1545-2921. - Vol. 3.2007, 67, p. 1-10
Publisher:	AccessEcon

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Extent:	application/pdf
Type of publication:	Article
Language:	English
Classification:	C2 - Econometric Methods: Single Equation Models
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005110924