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On the behavior of fixed-b trend break tests under fractional integration

Iacone, Fabrizio; Leybourne, Stephen James; Taylor, Robert - In: Econometric theory 29 (2013) 2, pp. 393-418

Persistent link: https://www.econbiz.de/10009760001

Testing for a break in trend when the order of integration is unknown

Iacone, Fabrizio; Leybourne, Stephen James; Taylor, Robert - In: Journal of econometrics 176 (2013) 1, pp. 30-45

Persistent link: https://www.econbiz.de/10009764402

Testing for a change in mean under fractional integration

Iacone, Fabrizio; Leybourne, Stephen James; Taylor, Robert - In: Journal of time series econometrics 9 (2017) 1, pp. 1-8

Persistent link: https://www.econbiz.de/10011671125

Testing the order of fractional integration of a time series in the possible presence of a trend break at an unknown point

Iacone, Fabrizio; Leybourne, Stephen James; Taylor, Robert - In: Econometric theory 35 (2019) 6, pp. 1201-1233

Persistent link: https://www.econbiz.de/10012149284

Semiparametric tests for the order of integration in the possible presence of level breaks

Iacone, Fabrizio; Nielsen, Morten Ørregaard; Taylor, Robert - In: Journal of business & economic statistics : JBES ; a … 40 (2022) 2, pp. 880-896

Persistent link: https://www.econbiz.de/10013534577

Semiparametric tests for the order of integration in the possible presence of level breaks

Iacone, Fabrizio; Nielsen, Morten Ørregaard; Taylor, Robert - 2020

Lobato and Robinson (1998) develop semiparametric tests for the null hypothesis that a series is weakly autocorrelated, or I(0), about a constant level, against fractionally integrated alternatives. These tests have the advantage that the user is not required to specify a parametric model for...

Persistent link: https://www.econbiz.de/10012243070