Testing structural breaks versus long memory with the Box–Pierce statistics: a Monte Carlo study
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Bibliographic InfoArticle provided by Springer in its journal Statistical Methods and Applications.
Volume (Year): 18 (2009)
Issue (Month): 4 (November)
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Web page: http://link.springer.de/link/service/journals/10260/index.htm
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- Robert F. Engle & Aaron D. Smith, 1999.
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0264, National Bureau of Economic Research, Inc.
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- Perron, P. & Bai, J., 1995. "Estimating and Testing Linear Models with Multiple Structural Changes," Cahiers de recherche 9552, Universite de Montreal, Departement de sciences economiques.
- Katsumi Shimotsu, 2006. "Simple (but effective) tests of long memory versus structural breaks," Working Papers 1101, Queen's University, Department of Economics.
- Hosking, Jonathan R. M., 1996. "Asymptotic distributions of the sample mean, autocovariances, and autocorrelations of long-memory time series," Journal of Econometrics, Elsevier, vol. 73(1), pages 261-284, July.
- Kruse, Robinson & Sibbertsen, Philipp, 2010.
"Long memory and changing persistence,"
Hannover Economic Papers (HEP)
dp-455, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
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