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Truncating estimation for the change in stochastic trend with heavy-tailed innovations

Author

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  • Ruibing Qin

    ()

  • Zheng Tian

    ()

  • Hao Jin

Abstract

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Suggested Citation

  • Ruibing Qin & Zheng Tian & Hao Jin, 2011. "Truncating estimation for the change in stochastic trend with heavy-tailed innovations," Statistical Papers, Springer, vol. 52(1), pages 203-217, February.
  • Handle: RePEc:spr:stpapr:v:52:y:2011:i:1:p:203-217
    DOI: 10.1007/s00362-009-0223-y
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    References listed on IDEAS

    as
    1. Perron, Pierre & Zhu, Xiaokang, 2005. "Structural breaks with deterministic and stochastic trends," Journal of Econometrics, Elsevier, vol. 129(1-2), pages 65-119.
    2. Eric Zivot & Peter C.B. Phillips, 1991. "A Bayesian Analysis of Trend Determination in Economic Time Series," Cowles Foundation Discussion Papers 1002, Cowles Foundation for Research in Economics, Yale University.
    3. Bai, Jushan, 1995. "Least Absolute Deviation Estimation of a Shift," Econometric Theory, Cambridge University Press, vol. 11(03), pages 403-436, June.
    Full references (including those not matched with items on IDEAS)

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    Keywords

    Change-point estimation; Stochastic trend; Heavy-tails; Primary 60F17; 60G52; 62M10;

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