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Random Level-Shift Time Series Models, ARIMA Approximations, and Level-Shift Detection

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  • Chen, Chung
  • Tiao, George C
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    Bibliographic Info

    Article provided by American Statistical Association in its journal Journal of Business and Economic Statistics.

    Volume (Year): 8 (1990)
    Issue (Month): 1 (January)
    Pages: 83-97

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    Handle: RePEc:bes:jnlbes:v:8:y:1990:i:1:p:83-97

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    Cited by:
    1. Ozgen Sayginsoy & Tim Vogelsang, 2004. "Powerful Tests of Structural Change That are Robust to Strong Serial Correlation," Discussion Papers 04-08, University at Albany, SUNY, Department of Economics.
    2. Balke, Nathan S. & Fomby, Thomas B., 1991. "Infrequent permanent shocks and the finite-sample performance of unit root tests," Economics Letters, Elsevier, vol. 36(3), pages 269-273, July.
    3. Wu, Chung-Shu & Lin, Jin-Lung & Tiao, George C. & Cho, David D., 2005. "Is money demand in Taiwan stable?," Economic Modelling, Elsevier, vol. 22(2), pages 327-346, March.
    4. Shin, Dong Wan & Sarkar, Sahadeb & Lee, Jong Hyup, 1996. "Unit root tests for time series with outliers," Statistics & Probability Letters, Elsevier, vol. 30(3), pages 189-197, October.
    5. Charfeddine, Lanouar & Guégan, Dominique, 2012. "Breaks or long memory behavior: An empirical investigation," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(22), pages 5712-5726.
    6. Lanouar Charfeddine & Dominique Guegan, 2012. "Breaks or long memory behaviour : an empirical investigation," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00722032, HAL.
    7. Lanouar Charfeddine & Dominique Guegan, 2012. "Breaks or long memory behaviour : an empirical investigation," Working Papers halshs-00722032, HAL.
    8. Chihwa Kao, 2001. "Geography, Industrial Organization, and Agglomeration Heteroskedasticity Models with Estimates of the Variances of Foreign Exchange Rates," Center for Policy Research Working Papers 34, Center for Policy Research, Maxwell School, Syracuse University.
    9. Elena Andreou & Eric Ghysels, 2002. "Detecting multiple breaks in financial market volatility dynamics," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 17(5), pages 579-600.
    10. Junttila, Juha, 2001. "Structural breaks, ARIMA model and Finnish inflation forecasts," International Journal of Forecasting, Elsevier, vol. 17(2), pages 203-230.
    11. Lanouar Charfeddine & Dominique Guegan, 2009. "Breaks or Long Memory Behaviour : An empirical Investigation," Post-Print halshs-00377485, HAL.

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