Estimating the fractionally integrated model with a break in the differencing parameter
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香港中文大学研究人员 ( 现职)

庄太量教授 (经济学系)

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摘要This note examines a new problem in the structural-change literature. A fractionally integrated model is assumed to experience a change in the differencing parameter at an unknown time. We develop consistent estimators of the change point and the pre- and post-shift differencing parameters.

着者Chong T.T.-L.
期刊名称Economics Bulletin
出版年份2http://aims.cuhk.edu.hk/converis/portal/Publication/0http://aims.cuhk.edu.hk/converis/portal/Publication/07
月份12
日期11
卷号3
期次67
出版社Economics Bulletin
出版地United States
国际标準期刊号1545-2921
语言英式英语