ON THE BEHAVIOR OF FIXED-b TREND BREAK TESTS UNDER FRACTIONAL INTEGRATION
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- Fabrizio Iacone & Stephen J. Leybourne & A. M. Robert Taylor, 2011. "On the behaviour of fixed-b trend break tests under fractional integration," Discussion Papers 11/03, University of Nottingham, Granger Centre for Time Series Econometrics.
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- Fabrizio Iacone & Stephen J. Leybourne & A. M. Robert Taylor, 2014. "A FIXED- b TEST FOR A BREAK IN LEVEL AT AN UNKNOWN TIME UNDER FRACTIONAL INTEGRATION," Journal of Time Series Analysis, Wiley Blackwell, vol. 35(1), pages 40-54, January.
- Bent Jesper Christensen & Robinson Kruse & Philipp Sibbertsen, 2013.
"A unified framework for testing in the linear regression model under unknown order of fractional integration,"
CREATES Research Papers
2013-35, Department of Economics and Business Economics, Aarhus University.
- Christensen, Bent Jesper & Kruse, Robinson & Sibbertsen, Philipp, 2013. "A unified framework for testing in the linear regression model under unknown order of fractional integration," Hannover Economic Papers (HEP) dp-519, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
- Alessandro Casini & Pierre Perron, 2018. "Structural Breaks in Time Series," Papers 1805.03807, arXiv.org.
- Javier Hualde & Fabrizio Iacone, 2015. "Small-b and Fixed-b Asymptotics for Weighted Covariance Estimation in Fractional Cointegration," Journal of Time Series Analysis, Wiley Blackwell, vol. 36(4), pages 528-540, July.
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