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Change‐Point Estimation of Fractionally Integrated Processes

Author

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  • Chung‐Ming Kuan
  • Chih‐Chiang Hsu

Abstract

In this paper we analyze the least‐squares estimator of the change point for fractionally integrated processes with fractionally differencing parameter −0.5

Suggested Citation

  • Chung‐Ming Kuan & Chih‐Chiang Hsu, 1998. "Change‐Point Estimation of Fractionally Integrated Processes," Journal of Time Series Analysis, Wiley Blackwell, vol. 19(6), pages 693-708, November.
    • Handle: RePEc:bla:jtsera:v:19:y:1998:i:6:p:693-708
    DOI: 10.1111/1467-9892.00117
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    Cited by:

    1. Chang, Seong Yeon, 2021. "Estimation of a level shift in panel data with fractionally integrated errors," Economics Letters, Elsevier, vol. 206(C).
    2. Beran, Jan, 2007. "On parameter estimation for locally stationary long-memory processes," CoFE Discussion Papers 07/13, University of Konstanz, Center of Finance and Econometrics (CoFE).
    3. Zongwu Cai & Seong Yeon Chang, 2018. "A New Test In A Predictive Regression with Structural Breaks," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS 201811, University of Kansas, Department of Economics, revised Dec 2018.
    4. Giorgio Canarella & Stephen M Miller, 2017. "Inflation Persistence Before and After Inflation Targeting: A Fractional Integration Approach," Eastern Economic Journal, Palgrave Macmillan;Eastern Economic Association, vol. 43(1), pages 78-103, January.
    5. Benjamin M. Tabak, 2007. "Estimating the Fractional Order of Integration of Yields in the Brazilian Fixed Income Market," Economic Notes, Banca Monte dei Paschi di Siena SpA, vol. 36(3), pages 231-246, November.
    6. Daiqing Xi & Tianxiao Pang, 2021. "Estimating multiple breaks in mean sequentially with fractionally integrated errors," Statistical Papers, Springer, vol. 62(1), pages 451-494, February.
    7. Kunal Saha & Vinodh Madhavan & Chandrashekhar G. R. & David McMillan, 2020. "Pitfalls in long memory research," Cogent Economics & Finance, Taylor & Francis Journals, vol. 8(1), pages 1733280-173, January.

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