Mean Shift detection under long-range dependencies with ART
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Other versions of this item:
- Willert, Juliane, 2009. "Mean Shift detection under long-range dependencies with ART," MPRA Paper 17874, University Library of Munich, Germany.
References listed on IDEAS
- Philipp Sibbertsen, 2004. "Long memory versus structural breaks: An overview," Statistical Papers, Springer, vol. 45(4), pages 465-515, October.
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- Ploberger, Werner & Kramer, Walter, 1992. "The CUSUM Test with OLS Residuals," Econometrica, Econometric Society, vol. 60(2), pages 271-285, March.
- da Rosa, Joel Correa & Veiga, Alvaro & Medeiros, Marcelo C., 2008. "Tree-structured smooth transition regression models," Computational Statistics & Data Analysis, Elsevier, vol. 52(5), pages 2469-2488, January.
- Clive W.J. Granger & Namwon Hyung, 2013.
"Occasional Structural Breaks and Long Memory,"
Annals of Economics and Finance,
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- Granger, Clive W.J. & Hyung, Namwon, 1999. "Occasional Structural Breaks and Long Memory," University of California at San Diego, Economics Working Paper Series qt4d60t4jh, Department of Economics, UC San Diego.
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More about this item
Keywordslong memory; mean shift; regression tree; ART; BIC.;
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2010-02-13 (All new papers)
- NEP-ECM-2010-02-13 (Econometrics)
- NEP-ETS-2010-02-13 (Econometric Time Series)
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