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Estimating multiple breaks in mean sequentially with fractionally integrated errors

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  • Daiqing Xi

    (Zhejiang University)

  • Tianxiao Pang

    (Zhejiang University)

Abstract

This paper studies the estimation issue for multiple breaks in mean when the model errors are fractionally integrated processes of order d with $$-0.5

Suggested Citation

  • Daiqing Xi & Tianxiao Pang, 2021. "Estimating multiple breaks in mean sequentially with fractionally integrated errors," Statistical Papers, Springer, vol. 62(1), pages 451-494, February.
    • Handle: RePEc:spr:stpapr:v:62:y:2021:i:1:d:10.1007_s00362-019-01104-z
    DOI: 10.1007/s00362-019-01104-z
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