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Neglecting Parameter Changes in Autoregressive Models

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  • Eric Hillebrand, 2004. "Neglecting Parameter Changes in Autoregressive Models," Departmental Working Papers 2004-04, Department of Economics, Louisiana State University.
    • Handle: RePEc:lsu:lsuwpp:2004-04
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    File URL: https://www.lsu.edu/business/economics/files/workingpapers/pap04_04.pdf
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    1. Perron, Pierre, 1989. "The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis," Econometrica, Econometric Society, vol. 57(6), pages 1361-1401, November.
    2. Thomas Mikosch & Catalin Starica, 2004. "Long range dependence effects and ARCH modelling," Econometrics 0412004, University Library of Munich, Germany.
    3. Perron, Pierre, 1990. "Testing for a Unit Root in a Time Series with a Changing Mean," Journal of Business & Economic Statistics, American Statistical Association, vol. 8(2), pages 153-162, April.
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    Cited by:

    1. Eric Hillebrand, 2005. "Mean Reversion Expectations and the 1987 Stock Market Crash: An Empirical Investigation," Finance 0501015, University Library of Munich, Germany.

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