Recursive predictive tests for structural change of long-memory ARFIMA processes with unknown break points
Author
Abstract
Suggested Citation
DOI: 10.1016/j.econlet.2012.11.011
Download full text from publisher
As the access to this document is restricted, you may want to search for a different version of it.
References listed on IDEAS
- D. Poskitt, 2007. "Autoregressive approximation in nonstandard situations: the fractionally integrated and non-invertible cases," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 59(4), pages 697-725, December.
- Baillie, Richard T., 1996. "Long memory processes and fractional integration in econometrics," Journal of Econometrics, Elsevier, vol. 73(1), pages 5-59, July.
- G. E. P. Box & G. C. Tiao, 1976. "Comparison of Forecast and Actuality," Journal of the Royal Statistical Society Series C, Royal Statistical Society, vol. 25(3), pages 195-200, November.
- Hidalgo, Javier & Robinson, Peter M., 1996. "Testing for structural change in a long-memory environment," Journal of Econometrics, Elsevier, vol. 70(1), pages 159-174, January.
- Lutkepohl, Helmut, 1988. "Prediction tests for structural stability," Journal of Econometrics, Elsevier, vol. 39(3), pages 267-296, November.
- Hosking, Jonathan R. M., 1996. "Asymptotic distributions of the sample mean, autocovariances, and autocorrelations of long-memory time series," Journal of Econometrics, Elsevier, vol. 73(1), pages 261-284, July.
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- Chen, Xuehui & Zhu, Hongli & Zhang, Xinru & Zhao, Lutao, 2022. "A novel time-varying FIGARCH model for improving volatility predictions," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 589(C).
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Wang, Cindy Shin-Huei & Bauwens, Luc & Hsiao, Cheng, 2013.
"Forecasting a long memory process subject to structural breaks,"
Journal of Econometrics, Elsevier, vol. 177(2), pages 171-184.
- WANG, Shin-Huei & BAUWENS, Luc & HSIAO, Cheng, 2012. "Forecasting long memory processes subject to structural breaks," LIDAM Discussion Papers CORE 2012048, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- WANG, Cindy Shin-Huei & BAUWENS, Luc & HSIAO, Cheng, 2013. "Forecasting a long memory process subject to structural breaks," LIDAM Reprints CORE 2574, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Juan J. Dolado & Jesús Gonzalo & Laura Mayoral, 2005.
"What is What? A Simple Time-Domain Test of Long-memory vs. Structural Breaks,"
Working Papers
258, Barcelona School of Economics.
- Juan J. Dolado & Jesús Gonzalo & Laura Mayoral, 2005. "What is what?: A simple time-domain test of long-memory vs. structural breaks," Economics Working Papers 954, Department of Economics and Business, Universitat Pompeu Fabra.
- Richard T. Baillie & Dooyeon Cho & Seunghwa Rho, 2023. "Approximating long-memory processes with low-order autoregressions: Implications for modeling realized volatility," Empirical Economics, Springer, vol. 64(6), pages 2911-2937, June.
- Laura Mayoral, 2005.
"Is the observed persistence spurious? A test for fractional integration versus short memory and structural breaks,"
Economics Working Papers
956, Department of Economics and Business, Universitat Pompeu Fabra.
- Laura Mayoral, 2006. "Is the Observed Persistence Spurious? A Test for Fractional Integration versus Short Memory and Structural Breaks," Working Papers 260, Barcelona School of Economics.
- repec:wyi:journl:002213 is not listed on IDEAS
- Giorgio Canarella & Luis A. Gil-Alana & Rangan Gupta & Stephen M. Miller, 2022.
"Globalization, long memory, and real interest rate convergence: a historical perspective,"
Empirical Economics, Springer, vol. 63(5), pages 2331-2355, November.
- Giorgio Canarella & Luis A. Gil-Alana & Rangan Gupta & Stephen M. Miller, 2020. "Globalization, Long Memory, and Real Interest Rate Convergence: A Historical Perspective," Working Papers 2020106, University of Pretoria, Department of Economics.
- Luis A. Gil-Alana & Antonio Moreno & Seonghoon Cho, 2012.
"The Deaton paradox in a long memory context with structural breaks,"
Applied Economics, Taylor & Francis Journals, vol. 44(25), pages 3309-3322, September.
- Luis A. Gil-Alana & Antonio Moreno & Seonghoon Cho, 2009. "The Deaton paradox in a long memory context with structural breaks," Faculty Working Papers 03/09, School of Economics and Business Administration, University of Navarra.
- 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.
- Richard T. Baillie & Fabio Calonaci & Dooyeon Cho & Seunghwa Rho, 2019. "Long Memory, Realized Volatility and HAR Models," Working Papers 881, Queen Mary University of London, School of Economics and Finance.
- Laura Mayoral, 2007.
"Minimum distance estimation of stationary and non-stationary ARFIMA processes,"
Econometrics Journal, Royal Economic Society, vol. 10(1), pages 124-148, March.
- Laura Mayoral, 2006. "Minimum distance estimation of stationary and non-stationary ARFIMA processes," Economics Working Papers 959, Department of Economics and Business, Universitat Pompeu Fabra.
- Kunal Saha & Vinodh Madhavan & Chandrashekhar G. R. & David McMillan, 2020. "Pitfalls in long memory research," Cogent Economics & Finance, Taylor & Francis Journals, vol. 8(1), pages 1733280-173, January.
- Ozdemir, Zeynel Abidin, 2009. "Linkages between international stock markets: A multivariate long-memory approach," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 388(12), pages 2461-2468.
- Wang Shin-Huei & Hafner Christian, 2011.
"Estimating Autocorrelations in the Presence of Deterministic Trends,"
Journal of Time Series Econometrics, De Gruyter, vol. 3(2), pages 1-25, April.
- Wang, Shin-Huei & Hafner, Christian, 2008. "Estimating autocorrelations in the presence of deterministic trends," LIDAM Discussion Papers CORE 2008073, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Hafner, Christian & Wang, Shin-Huei, 2011. "Estimating autocorrelations in the presence of deterministic trends," LIDAM Reprints ISBA 2011051, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
- Ulrike Busch & Dieter Nautz, 2010.
"Controllability and Persistence of Money Market Rates along the Yield Curve: Evidence from the Euro Area,"
German Economic Review, Verein für Socialpolitik, vol. 11(3), pages 367-380, August.
- Busch Ulrike & Nautz Dieter, 2010. "Controllability and Persistence of Money Market Rates along the Yield Curve: Evidence from the Euro Area," German Economic Review, De Gruyter, vol. 11(3), pages 367-380, August.
- Busch, Ulrike & Nautz, Dieter, 2009. "Controllability and persistence of money Market rates along the yield curve: Evidence from the Euro area," SFB 649 Discussion Papers 2009-029, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
- Busch, Ulrike & Nautz, Dieter, 2009. "Controllability and persistence of money market rates along the yield curve: evidence from the euro area," Discussion Papers 2009/5, Free University Berlin, School of Business & Economics.
- Olgun, Hasan & Ozdemir, Zeynel Abidin, 2008. "Linkages between the center and periphery stock prices: Evidence from the vector ARFIMA model," Economic Modelling, Elsevier, vol. 25(3), pages 512-519, May.
- Dolado Juan J. & Gonzalo Jesus & Mayoral Laura, 2008.
"Wald Tests of I(1) against I(d) Alternatives: Some New Properties and an Extension to Processes with Trending Components,"
Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 12(4), pages 1-35, December.
- Mayoral, Laura, 2007. "Wald Tests of I(1) against I(d) alternatives : some new properties and an extension to processes with trending components," UC3M Working papers. Economics we20070625, Universidad Carlos III de Madrid. Departamento de EconomÃa.
- Choi, Kyongwook & Zivot, Eric, 2007. "Long memory and structural changes in the forward discount: An empirical investigation," Journal of International Money and Finance, Elsevier, vol. 26(3), pages 342-363, April.
- Neil Kellard & Denise Osborn & Jerry Coakley & Simone D. Grose & Gael M. Martin & Donald S. Poskitt, 2015.
"Bias Correction of Persistence Measures in Fractionally Integrated Models,"
Journal of Time Series Analysis, Wiley Blackwell, vol. 36(5), pages 721-740, September.
- Simone D. Grose & Gael M. Martin & Donald S. Poskitt, 2013. "Bias Correction of Persistence Measures in Fractionally Integrated Models," Monash Econometrics and Business Statistics Working Papers 29/13, Monash University, Department of Econometrics and Business Statistics.
- Simone D. Grose & Gael M. Martin & D.S. Poskitt, 2014. "Bias Correction of Persistence Measures in Fractionally Integrated Models," Monash Econometrics and Business Statistics Working Papers 19/14, Monash University, Department of Econometrics and Business Statistics.
- Martin, Gael M. & Nadarajah, K. & Poskitt, D.S., 2020.
"Issues in the estimation of mis-specified models of fractionally integrated processes,"
Journal of Econometrics, Elsevier, vol. 215(2), pages 559-573.
- K. Nadarajah & Gael M. Martin & D.S. Poskitt, 2014. "Issues in the Estimation of Mis-Specified Models of Fractionally Integrated Processes," Monash Econometrics and Business Statistics Working Papers 18/14, Monash University, Department of Econometrics and Business Statistics.
- Gael M Martin & K. Nadarajah & Donald S Poskitt, 2018. "Issues in the estimation of mis-specified models of fractionally integrated processes," Monash Econometrics and Business Statistics Working Papers 18/18, Monash University, Department of Econometrics and Business Statistics.
- Diebold, Francis X. & Inoue, Atsushi, 2001.
"Long memory and regime switching,"
Journal of Econometrics, Elsevier, vol. 105(1), pages 131-159, November.
- Francis X. Diebold & Atsushi Inoue, 2000. "Long Memory and Regime Switching," NBER Technical Working Papers 0264, National Bureau of Economic Research, Inc.
- D.S. Poskitt & Gael M. Martin & Simone D. Grose, 2012.
"Bias Reduction of Long Memory Parameter Estimators via the Pre-filtered Sieve Bootstrap,"
Monash Econometrics and Business Statistics Working Papers
8/12, Monash University, Department of Econometrics and Business Statistics.
- D.S. Poskitt & Gael M. Martin & Simone D. Grose, 2014. "Bias Reduction of Long Memory Parameter Estimators via the Pre-filtered Sieve Bootstrap," Monash Econometrics and Business Statistics Working Papers 10/14, Monash University, Department of Econometrics and Business Statistics.
- Vasco J. Gabriel & Luis F. Martins, 2000. "The Forecast Performance of Long Memory and Markov Switching Models," NIPE Working Papers 2/2000, NIPE - Universidade do Minho.
More about this item
Keywords
Structural breaks; Predictive tests; Long memory;All these keywords.
JEL classification:
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
- C01 - Mathematical and Quantitative Methods - - General - - - Econometrics
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:ecolet:v:118:y:2013:i:2:p:389-392. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/locate/ecolet .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.