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Recursive predictive tests for structural change of long-memory ARFIMA processes with unknown break points
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Document type | Article de périodique (Journal article) – Article de recherche |
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Access type | Accès restreint |
Publication date | 2013 |
Language | Anglais |
Journal information | "Economics Letters" - Vol. 118, no.2, p. 389-392 (February 2013) |
Peer reviewed | yes |
Publisher | Elsevier BV ((Netherlands) Amsterdam) |
issn | 0165-1765 |
e-issn | 1873-7374 |
Publication status | Publié |
Affiliations |
UCL
- SSH/LIDAM/CORE - Center for operations research and econometrics National Tsinghwa University |
Keywords | Structural breaks ; Predictive tests ; Long memory |
Links |
Bibliographic reference | Wang, Shin-Huei ; Vasilakis, Chrysovalantis. Recursive predictive tests for structural change of long-memory ARFIMA processes with unknown break points. In: Economics Letters, Vol. 118, no.2, p. 389-392 (February 2013) |
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Permanent URL | http://hdl.handle.net/2078.1/129447 |