Testing for Level Shifts in Fractionally Integrated Processes: a State Space Approach
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- Davide Delle Monache & Stefano Grassi & Paolo Santucci de Magistris, 2015. "Testing for Level Shifts in Fractionally Integrated Processes: a State Space Approach," CREATES Research Papers 2015-30, Department of Economics and Business Economics, Aarhus University.
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More about this item
Keywords
Long Memory; ARFIMA Processes; Level Shifts; State-Space methods; KPSS test;All these keywords.
JEL classification:
- C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General
- C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- C80 - Mathematical and Quantitative Methods - - Data Collection and Data Estimation Methodology; Computer Programs - - - General
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ETS-2015-07-04 (Econometric Time Series)
- NEP-ORE-2015-07-04 (Operations Research)
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