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Statistical tests for a single change in mean against long‐range dependence

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  • Changryong Baek
  • Vladas Pipiras

Abstract

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Suggested Citation

  • Changryong Baek & Vladas Pipiras, 2012. "Statistical tests for a single change in mean against long‐range dependence," Journal of Time Series Analysis, Wiley Blackwell, vol. 33(1), pages 131-151, January.
    • Handle: RePEc:bla:jtsera:v:33:y:2012:i:1:p:131-151
    DOI: j.1467-9892.2011.00747.x
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    File URL: http://hdl.handle.net/10.1111/j.1467-9892.2011.00747.x
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    Cited by:

    1. Shahrin Aidil Rizal, 2015. "Does the Forward Discount Represent a Long Memory Process or Short Memory Process with Multiple Changes in the Mean?," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, vol. 235(6), pages 630-641, December.
    2. Taewook Lee & Moosup Kim & Changryong Baek, 2015. "Tests for Volatility Shifts in Garch Against Long-Range Dependence," Journal of Time Series Analysis, Wiley Blackwell, vol. 36(2), pages 127-153, March.
    3. Lujia Bai & Weichi Wu, 2021. "Detecting long-range dependence for time-varying linear models," Papers 2110.08089, arXiv.org, revised Mar 2023.
    4. Carina Gerstenberger, 2021. "Robust discrimination between long‐range dependence and a change in mean," Journal of Time Series Analysis, Wiley Blackwell, vol. 42(1), pages 34-62, January.
    5. Baek, Changryong & Fortuna, Natércia & Pipiras, Vladas, 2014. "Can Markov switching model generate long memory?," Economics Letters, Elsevier, vol. 124(1), pages 117-121.
    6. Lee, Taewook & Baek, Changryong, 2020. "Block wild bootstrap-based CUSUM tests robust to high persistence and misspecification," Computational Statistics & Data Analysis, Elsevier, vol. 150(C).

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