Testing the order of fractional integration of a time series in the possible presence of a trend break at an unknown point

Iacone, Fabrizio orcid.org/0000-0002-2681-9036, Leybourne, Stephen J. and Taylor, A. M. Robert (2019) Testing the order of fractional integration of a time series in the possible presence of a trend break at an unknown point. Econometric Theory. 1201–1233. ISSN 0266-4666

Abstract

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Authors/Creators:
Copyright, Publisher and Additional Information: © Cambridge University Press 2018
Keywords: Social Sciences (miscellaneous),Economics and Econometrics
Dates:
  • Accepted: 22 August 2018
  • Published (online): 16 November 2018
  • Published: December 2019
Institution: The University of York
Academic Units: The University of York > Faculty of Social Sciences (York) > Economics and Related Studies (York)
Depositing User: Pure (York)
Date Deposited: 30 Aug 2018 08:40
Last Modified: 24 Nov 2020 01:41
Published Version: https://doi.org/10.1017/S0266466618000361
Status: Published
Refereed: Yes
Identification Number: https://doi.org/10.1017/S0266466618000361
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Description: Testing the Order of Fractional Integration of a Time Series in the Possible Presence of a Trend Break at an Unknown Point

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