Semiparametric tests for the order of integration in the possible presence of level breaks
Fabrizio Iacone, Morten Ørregaard Nielsen and Robert Taylor
| Year of publication: |
[2021]
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|---|---|
| Authors: | Iacone, Fabrizio ; Nielsen, Morten Ørregaard ; Taylor, Robert |
| Publisher: |
Aarhus, Denmark : Department of Economics and Business Economics, Aarhus University |
| Subject: | Fractional integration | level breaks | Lagrange multiplier testing principle | spurious long memory | local Whittle likelihood | conditional heteroskedasticity | Zeitreihenanalyse | Time series analysis | Strukturbruch | Structural break | Schätztheorie | Estimation theory | Nichtparametrisches Verfahren | Nonparametric statistics | Einheitswurzeltest | Unit root test |
freely available
| Extent: | 1 Online-Ressource (circa 66 Seiten) Illustrationen |
|---|---|
| Series: | CREATES research paper. - Aarhus : [Verlag nicht ermittelbar], ZDB-ID 2490360-7. - Vol. 2021, 04 |
| Type of publication: | Book / Working Paper |
| Type of publication (narrower categories): | Graue Literatur ; Non-commercial literature ; Arbeitspapier ; Working Paper |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012434016