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Detecting changes from short to long memory

  • Uwe Hassler

    ()

  • Jan Scheithauer

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File URL: http://hdl.handle.net/10.1007/s00362-009-0292-y
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Article provided by Springer in its journal Statistical Papers.

Volume (Year): 52 (2011)
Issue (Month): 4 (November)
Pages: 847-870

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Handle: RePEc:spr:stpapr:v:52:y:2011:i:4:p:847-870
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  1. Davidson, James & de Jong, Robert M., 2000. "The Functional Central Limit Theorem And Weak Convergence To Stochastic Integrals Ii," Econometric Theory, Cambridge University Press, vol. 16(05), pages 643-666, October.
  2. Stephen Leybourne & Robert Taylor & Tae-Hwan Kim, 2007. "CUSUM of Squares-Based Tests for a Change in Persistence," Journal of Time Series Analysis, Wiley Blackwell, vol. 28(3), pages 408-433, 05.
  3. Manmohan S. Kumar & Tatsuyoshi Okimoto, 2007. "Dynamics of Persistence in International Inflation Rates," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 39(6), pages 1457-1479, 09.
  4. Marinucci, D. & Robinson, P. M., 2000. "Weak convergence of multivariate fractional processes," Stochastic Processes and their Applications, Elsevier, vol. 86(1), pages 103-120, March.
  5. Robert Taylor & Stephen Leybourne & David Harvey, 2004. "Modified Tests for a Change in Persistence," Econometric Society 2004 Australasian Meetings 64, Econometric Society.
  6. Kwiatkowski, D. & Phillips, P.C.B. & Schmidt, P., 1990. "Testing the Null Hypothesis of Stationarity Against the Alternative of Unit Root : How Sure are we that Economic Time Series have a Unit Root?," Papers 8905, Michigan State - Econometrics and Economic Theory.
  7. Hassler, Uwe & Nautz, Dieter, 2008. "On the persistence of the Eonia spread," Economics Letters, Elsevier, vol. 101(3), pages 184-187, December.
  8. Andreea Halunga & Denise Osborn & Marianne Sensier, 2007. "Changes in the order of integration of US and UK inflation," The School of Economics Discussion Paper Series 0715, Economics, The University of Manchester.
  9. Lee, D. & Schmidt, P., 1993. "On the Power of the KPSS Test of Stationarity Against Fractionally-Integrated Alternatives," Papers 9111, Michigan State - Econometrics and Economic Theory.
  10. Kim, Jae-Young & Belaire-Franch, Jorge & Amador, Rosa Badillo, 2002. "Corrigendum to "Detection of change in persistence of a linear time series" [J. Econom. 95 (2000) 97-116]," Journal of Econometrics, Elsevier, vol. 109(2), pages 389-392, August.
  11. Luis A. Gil-Alana, . "Fractional integration and structural breaks at unknown periods of time," Faculty Working Papers 16/06, School of Economics and Business Administration, University of Navarra.
  12. Kim, Jae-Young, 2000. "Detection of change in persistence of a linear time series," Journal of Econometrics, Elsevier, vol. 95(1), pages 97-116, March.
  13. Sibbertsen, Philipp & Kruse, Robinson, 2007. "Testing for a break in persistence under long-range dependencies," Hannover Economic Papers (HEP) dp-381, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
  14. Belaire-Franch, Jorge, 2005. "A Proof Of The Power Of Kim'S Test Against Stationary Processes With Structural Breaks," Econometric Theory, Cambridge University Press, vol. 21(06), pages 1172-1176, December.
  15. Sibbertsen, Philipp, 2001. "Long-memory versus structural breaks: An overview," Technical Reports 2001,28, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
  16. Uwe Hassler & Jan Scheithauer, 2008. "On Critical Values of Tests against a Change in Persistence," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 70(5), pages 705-710, October.
  17. Donald W.K. Andrews, 1988. "Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation," Cowles Foundation Discussion Papers 877R, Cowles Foundation for Research in Economics, Yale University, revised Jul 1989.
  18. Busetti, Fabio & Taylor, A. M. Robert, 2004. "Tests of stationarity against a change in persistence," Journal of Econometrics, Elsevier, vol. 123(1), pages 33-66, November.
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