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Testing for structural change in regression with long memory processes

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  • Lazarova, Stepana
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    Bibliographic Info

    Article provided by Elsevier in its journal Journal of Econometrics.

    Volume (Year): 129 (2005)
    Issue (Month): 1-2 ()
    Pages: 329-372

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    Handle: RePEc:eee:econom:v:129:y:2005:i:1-2:p:329-372

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    Web page: http://www.elsevier.com/locate/jeconom

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    1. Efstathios Paparoditis & Dimitris Politis, 2000. "The Local Bootstrap for Kernel Estimators under General Dependence Conditions," Annals of the Institute of Statistical Mathematics, Springer, vol. 52(1), pages 139-159, March.
    2. Donald W.K. Andrews, 1990. "Tests for Parameter Instability and Structural Change with Unknown Change Point," Cowles Foundation Discussion Papers 943, Cowles Foundation for Research in Economics, Yale University.
    3. Hidalgo, Javier, 2003. "An alternative bootstrap to moving blocks for time series regression models," Journal of Econometrics, Elsevier, Elsevier, vol. 117(2), pages 369-399, December.
    4. Andrews, Donald W K & Ploberger, Werner, 1994. "Optimal Tests When a Nuisance Parameter Is Present Only under the Alternative," Econometrica, Econometric Society, Econometric Society, vol. 62(6), pages 1383-1414, November.
    5. Ploberger, Werner & Kramer, Walter & Kontrus, Karl, 1989. "A new test for structural stability in the linear regression model," Journal of Econometrics, Elsevier, Elsevier, vol. 40(2), pages 307-318, February.
    6. P. M. Robinson, 1998. "Inference-Without-Smoothing in the Presence of Nonparametric Autocorrelation," Econometrica, Econometric Society, Econometric Society, vol. 66(5), pages 1163-1182, September.
    7. Ploberger, Werner & Krämer;, Walter, 1990. "The Local Power of the CUSUM and CUSUM of Squares Tests," Econometric Theory, Cambridge University Press, vol. 6(03), pages 335-347, September.
    8. An, Hong-Zhi & Chen, Zhao-Guo & Hannan, E. J., 1983. "The maximum of the periodogram," Journal of Multivariate Analysis, Elsevier, vol. 13(3), pages 383-400, September.
    9. Javier Hidalgo, 2003. "An Alternative Bootstrap to Moving Blocks for Time Series Regression Models," STICERD - Econometrics Paper Series /2003/452, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
    10. Ploberger, Werner & Kramer, Walter, 1992. "The CUSUM Test with OLS Residuals," Econometrica, Econometric Society, Econometric Society, vol. 60(2), pages 271-85, March.
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    Cited by:
    1. Juan J. Dolado & Jesus Gonzalo & Laura Mayoral, 2005. "What is What? A Simple Time-Domain Test of Long-memory vs. Structural Breaks," Working Papers 258, Barcelona Graduate School of Economics.
    2. Guglielmo Maria Caporale & Luis A. Gil-Alana, 2009. "Long Memory in US Real Output per Capita," Discussion Papers of DIW Berlin 891, DIW Berlin, German Institute for Economic Research.
    3. Laura Mayoral, 2006. "Further Evidence on the Statistical Properties of Real GNP," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 68(s1), pages 901-920, December.
    4. Laura Mayoral, 2006. "Is the Observed Persistence Spurious? A Test for Fractional Integration versus Short Memory and Structural Breaks," Working Papers 260, Barcelona Graduate School of Economics.
    5. Beran, Jan & Shumeyko, Yevgen, 2012. "Bootstrap testing for discontinuities under long-range dependence," Journal of Multivariate Analysis, Elsevier, vol. 105(1), pages 322-347.

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