IDEAS home Printed from https://ideas.repec.org/
MyIDEAS: Login

Citations for "Spurious Break"

by Nunes, Luis C. & Kuan, Chung-Ming & Newbold, Paul

For a complete description of this item, click here. For a RSS feed for citations of this item, click here.
as in new window

  1. Peter C.B. Phillips, 2004. "Challenges of Trending Time Series Econometrics," Cowles Foundation Discussion Papers 1472, Cowles Foundation for Research in Economics, Yale University.
  2. Laura Mayoral, 2006. "Further Evidence on the Statistical Properties of Real GNP," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 68(s1), pages 901-920, December.
  3. 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.
  4. Wang, Cindy Shin-Huei & Bauwens, Luc & Hsiao, Cheng, 2013. "Forecasting a long memory process subject to structural breaks," Journal of Econometrics, Elsevier, vol. 177(2), pages 171-184.
  5. Kim, In-Moo, 1997. "Detecting the number of structural breaks," Economics Letters, Elsevier, vol. 57(2), pages 145-148, December.
  6. repec:wyi:journl:002213 is not listed on IDEAS
  7. Laura Mayoral, 2006. "Is the Observed Persistence Spurious? A Test for Fractional Integration versus Short Memory and Structural Breaks," Working Papers 260, Barcelona Graduate School of Economics.
  8. Laura Mayoral, 2005. "The persistence of inflation in OECD countries: A fractionally integrated approach," Economics Working Papers 958, Department of Economics and Business, Universitat Pompeu Fabra, revised Oct 2005.
  9. Atiq-ur-Rehman, Atiq-ur-Rehman & Zaman, Asad, 2009. "Impact of Model Specification Decisions on Unit Root Tests," MPRA Paper 19963, University Library of Munich, Germany.
  10. Marriott, John & Newbold, Paul, 2000. "The strength of evidence for unit autoregressive roots and structural breaks: A Bayesian perspective," Journal of Econometrics, Elsevier, vol. 98(1), pages 1-25, September.
  11. David Harris & David I. Harvey & Stephen J. Leybourne & A. M. Robert Taylor, 2007. "Testing for a unit root in the presence of a possible break in trend," Discussion Papers 07/04, University of Nottingham, Granger Centre for Time Series Econometrics.
  12. Todd E. Clark, 2003. "Disaggregate evidence on the persistence of consumer price inflation," Research Working Paper RWP 03-11, Federal Reserve Bank of Kansas City.
  13. Giuseppe Cavaliere & David I. Harvey & Stephen J. Leybourne & A. M. Robert Taylor, 2009. "Testing for unit roots in the presence of a possible break in trend and non-stationary volatility," Discussion Papers 09/05, University of Nottingham, Granger Centre for Time Series Econometrics.
  14. Brittle, Shane, 2009. "Ricardian Equivalence and the Efficacy of Fiscal Policy in Australia," Economics Working Papers wp09-10, School of Economics, University of Wollongong, NSW, Australia.
  15. Walter Krämer, 2002. "Statistische Besonderheiten von Finanzzeitreihen," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), Justus-Liebig University Giessen, Department of Statistics and Economics, vol. 222(2), pages 210-229.
  16. Kurozumi, Eiji, 2002. "Testing for stationarity with a break," Journal of Econometrics, Elsevier, vol. 108(1), pages 63-99, May.
  17. repec:ebl:ecbull:v:3:y:2004:i:34:p:1-11 is not listed on IDEAS
  18. Bond, Derek & Harrison, Michael J & O’Brien, Edward J., 2006. "Testing for Long Memory and Nonlinear Time Series: A Demand for Money Study," Research Technical Papers 2/RT/06, Central Bank of Ireland.
  19. Yu-Chin Hsu & Chung-Ming Kuan, 2006. "Change-Point Estimation of Nonstationary I(d) Processes," IEAS Working Paper : academic research 06-A007, Institute of Economics, Academia Sinica, Taipei, Taiwan.
  20. Jin, Hao & Tian, Zheng & Qin, Ruibing, 2009. "Bootstrap tests for structural change with infinite variance observations," Statistics & Probability Letters, Elsevier, vol. 79(19), pages 1985-1995, October.
  21. Luís Catela Nunes & Paulo M.M. Rodrigues, 2009. "On LM-Type Tests for Seasonal Unit Roots in the Presence of a Break in Trend," Working Papers w200920, Banco de Portugal, Economics and Research Department.
  22. Pierre Perron & Rasmus T. Varneskov, 2011. "Combining Long Memory and Level Shifts in Modeling and Forecasting the Volatility of Asset Returns," Boston University - Department of Economics - Working Papers Series WP2011-050, Boston University - Department of Economics.
  23. Filippo Altissimo & Valentina Corradi, 2000. "Strong Rules for Detecting the Number of Breaks in a Time Series," Econometric Society World Congress 2000 Contributed Papers 0574, Econometric Society.
  24. Kim, Tae-Hwan & Leybourne, Stephen & Newbold, Paul, 2002. "Unit root tests with a break in innovation variance," Journal of Econometrics, Elsevier, vol. 109(2), pages 365-387, August.
  25. Kim, Dukpa & Perron, Pierre, 2009. "Unit root tests allowing for a break in the trend function at an unknown time under both the null and alternative hypotheses," Journal of Econometrics, Elsevier, vol. 148(1), pages 1-13, January.
  26. Lovcha, Yuliya & Pérez Laborda, Àlex, 2016. "Structural shocks and dinamic elasticities in a long memory model of the US gasoline retail market," Working Papers 2072/261538, Universitat Rovira i Virgili, Department of Economics.
  27. Chen, Gongmeng & Choi, Yoon K. & Zhou, Yong, 2005. "Nonparametric estimation of structural change points in volatility models for time series," Journal of Econometrics, Elsevier, vol. 126(1), pages 79-114, May.
  28. McAleer, Michael & Medeiros, Marcelo C., 2008. "A multiple regime smooth transition Heterogeneous Autoregressive model for long memory and asymmetries," Journal of Econometrics, Elsevier, vol. 147(1), pages 104-119, November.
  29. George Kapetanios, 2002. "Unit Root Testing against the Alternative Hypothesis of up to m Structural Breaks," Working Papers 469, Queen Mary University of London, School of Economics and Finance.
  30. Atiq-ur-Rehman, Atiq-ur-Rehman & Zaman, Asad, 2008. "Model specification, observational equivalence and performance of unit root tests," MPRA Paper 13489, University Library of Munich, Germany.
  31. Joseph P. Byrne & Roger Perman, 2006. "Unit Roots and Structural Breaks: A Survey of the Literature," Working Papers 2006_10, Business School - Economics, University of Glasgow.
  32. Kuan, Chung-Ming, 1998. "Tests for changes in models with a polynomial trend," Journal of Econometrics, Elsevier, vol. 84(1), pages 75-91, May.
This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.