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Citations for "Testing for structural change in the presence of long memory"

by Krämer, Walter & Sibbertsen, Philipp

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  1. 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.
  2. Banerjee, Anindya & Urga, Giovanni, 2005. "Modelling structural breaks, long memory and stock market volatility: an overview," Journal of Econometrics, Elsevier, vol. 129(1-2), pages 1-34.
  3. 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.
  4. Zhichao Guo & Yuanhua Feng & Thomas Gries, 2013. "Changes of China's agri-food exports to Germany caused by its accession to WTO and the 2008 financial crisis," Working Papers CIE 72, Paderborn University, CIE Center for International Economics.
  5. Hwang, Eunju & Shin, Dong Wan, 2013. "A CUSUM test for a long memory heterogeneous autoregressive model," Economics Letters, Elsevier, vol. 121(3), pages 379-383.
  6. Bond, Derek & Harrison, Michael J & Hession, Niall & O’Brien, Edward J., 2006. "Some Empirical Observations on the Forward Exchange Rate Anomaly," Research Technical Papers 3/RT/06, Central Bank of Ireland.
  7. Gilles Dufrénot & Valérie Mignon & Théo Naccache, . "The slow convergence of per capita income between the developing countries: “growth resistance” and sometimes “growth tragedy”," Discussion Papers 09/03, University of Nottingham, CREDIT.
  8. Zeynel Abidin Ozdemir & Mehmet Balcilar & Aysit Tansel, 2011. "International Labour Force Participation Rates by Gender: Unit Root or Structural Breaks?," Working Papers 15-28, Eastern Mediterranean University, Department of Economics.
  9. Lee, Oesook, 2014. "The functional central limit theorem and structural change test for the HAR(∞) model," Economics Letters, Elsevier, vol. 124(3), pages 370-373.
  10. Luis Alberiko Gil-Alana & Antonio Moreno & Seonghoon Cho, 2011. "The Deaton paradox in a long memory context with structural breaks," Post-Print hal-00711450, HAL.
  11. 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.
  12. Beran, Jan & Shumeyko, Yevgen, 2012. "Bootstrap testing for discontinuities under long-range dependence," Journal of Multivariate Analysis, Elsevier, vol. 105(1), pages 322-347.
  13. 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.
  14. Philipp Sibbertsen, 2004. "Long memory in volatilities of German stock returns," Empirical Economics, Springer, vol. 29(3), pages 477-488, 09.
  15. Derek Bond & Michael J. Harrison & Edward J. O'Brien, 2006. "Purchasing Power Parity: The Irish Experience Re-visited," Trinity Economics Papers tep200615, Trinity College Dublin, Department of Economics.
  16. Laura Mayoral, 2005. "The Persistence of Inflation in OECD Countries:a Fractionally Integrated Approach," Working Papers 259, Barcelona Graduate School of Economics.
  17. Derek Bond & Michael J. Harrison & Edward J. O'Brien, 2007. "Demand for Money: A Study in Testing Time Series for Long Memory and Nonlinearity," The Economic and Social Review, Economic and Social Studies, vol. 38(1), pages 1-24.
  18. Sibbertsen, Philipp, 2001. "Long-memory versus structural breaks: An overview," Technical Reports 2001,28, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
  19. Sibbertsen, Philipp & Venetis, Ioannis, 2003. "Distinguishing between long-range dependence and deterministic trends," Technical Reports 2003,16, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
  20. Krämer, Walter & Sibbertsen, Philipp & Kleiber, Christian, 2001. "Long memory vs. structural change in financial time series," Technical Reports 2001,37, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
  21. Theologos Dergiades & Lefteris Tsoulfidis, 2011. "Revisiting residential demand for electricity in Greece: new evidence from the ARDL approach to cointegration analysis," Empirical Economics, Springer, vol. 41(2), pages 511-531, October.
  22. Kyongwook Choi & Eric Zivot, 2003. "Long Memory and Structural Changes in the Forward Discount: An Empirical Investigation," EERI Research Paper Series EERI_RP_2003_02, Economics and Econometrics Research Institute (EERI), Brussels.
  23. Smallwood, Aaron D., 2008. "Measuring the persistence of deviations from purchasing power parity with a fractionally integrated STAR model," Journal of International Money and Finance, Elsevier, vol. 27(7), pages 1161-1176, November.
  24. Juncal Cuñado & Alberiko Gil-Alana, Luis & Perez De Gracia, Fernando, 2011. "Modelling International Monthly Tourist in Spain/Modelización de llegadas mensuales de turistas a España," Estudios de Economía Aplicada, Estudios de Economía Aplicada, vol. 29, pages 723-736, Diciembre.
  25. Philip Bertram & Robinson Kruse & Philipp Sibbertsen, 2013. "Fractional integration versus level shifts: the case of realized asset correlations," Statistical Papers, Springer, vol. 54(4), pages 977-991, November.
This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.