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Neglecting Parameter Changes in Autoregressive Models

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  • Eric Hillebrand, 2004. "Neglecting Parameter Changes in Autoregressive Models," Departmental Working Papers 2004-04, Department of Economics, Louisiana State University.
    • Handle: RePEc:lsu:lsuwpp:2004-04
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    File URL: https://www.lsu.edu/business/economics/files/workingpapers/pap04_04.pdf
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    1. Thomas Mikosch & Catalin Starica, 2004. "Long range dependence effects and ARCH modelling," Econometrics 0412004, University Library of Munich, Germany.
    2. Perron, Pierre, 1989. "The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis," Econometrica, Econometric Society, vol. 57(6), pages 1361-1401, November.
    3. Perron, Pierre, 1990. "Testing for a Unit Root in a Time Series with a Changing Mean," Journal of Business & Economic Statistics, American Statistical Association, vol. 8(2), pages 153-162, April.
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    Cited by:

    1. Eric Hillebrand, 2005. "Mean Reversion Expectations and the 1987 Stock Market Crash: An Empirical Investigation," Finance 0501015, University Library of Munich, Germany.

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