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]
|
|---|---|
| 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