Estimating the Fractionally Integrated Model with a Break in the Differencing Parameter

Economics Bulletin, 2007, vol. 3, issue 67, pages 1-10

Abstract: This note examines a new problem in the structural-change literature. A fractionally integrated model is assumed to experience a change in the differencing parameter at an unknown time. We develop consistent estimators of the change point and the pre- and post-shift differencing parameters.

Keywords: Differencing Parameter.; Long Memory; Structural Change (search for similar items in EconPapers)
JEL-codes: C2 (search for similar items in EconPapers)
Date: 2007 Written 2007-12-11
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