Testing the order of fractional integration of a time series in the possible presence of a trend break at an unknown point
(2018)
Journal Article
Iacone, F., Leybourne, S. J., & Taylor, A. R. (2018). Testing the order of fractional integration of a time series in the possible presence of a trend break at an unknown point. Econometric Theory, 35(6), 1201 - 1233. https://doi.org/10.1017/s0266466618000361
We develop a test, based on the Lagrange multiplier [LM] testing principle, for the value of the long memory parameter of a univariate time series that is composed of a fractionally integrated shock around a potentially broken deterministic trend. Ou... Read More about Testing the order of fractional integration of a time series in the possible presence of a trend break at an unknown point.