Uniform Limit Theory for Stationary Autoregression
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Other versions of this item:
- Liudas Giraitis & Peter C.B. Phillips, 2004. "Uniform Limit Theory for Stationary Autoregression," Cowles Foundation Discussion Papers 1475, Cowles Foundation for Research in Economics, Yale University.
- L Giraitis & P C B Phillips, "undated". "Uniform limit theory for stationary autoregression," Discussion Papers 05/23, Department of Economics, University of York.
References listed on IDEAS
- Klaus Frick & Axel Munk & Hannes Sieling, 2014. "Multiscale change point inference," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 76(3), pages 495-580, June.
- Wenzhi Zhao & Zheng Tian & Zhiming Xia, 2010. "Ratio test for variance change point in linear process with long memory," Statistical Papers, Springer, vol. 51(2), pages 397-407, June.
- Fryzlewicz, Piotr, 2014. "Wild binary segmentation for multiple change-point detection," LSE Research Online Documents on Economics 57146, London School of Economics and Political Science, LSE Library.
- Inclan, Carla, 1993. "Detection of Multiple Changes of Variance Using Posterior Odds," Journal of Business & Economic Statistics, American Statistical Association, vol. 11(3), pages 289-300, July.
- Alexander Aue & Lajos Horváth, 2013. "Structural breaks in time series," Journal of Time Series Analysis, Wiley Blackwell, vol. 34(1), pages 1-16, January.
- David S. Matteson & Nicholas A. James, 2014. "A Nonparametric Approach for Multiple Change Point Analysis of Multivariate Data," Journal of the American Statistical Association, Taylor & Francis Journals, vol. 109(505), pages 334-345, March.
More about this item
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
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