Change‐Point Estimation of Fractionally Integrated Processes

Chung‐Ming Kuan and Chih‐Chiang Hsu

Journal of Time Series Analysis, 1998, vol. 19, issue 6, 693-708

Abstract: In this paper we analyze the least‐squares estimator of the change point for fractionally integrated processes with fractionally differencing parameter −0.5

Date: 1998
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Persistent link: https://EconPapers.repec.org/RePEc:bla:jtsera:v:19:y:1998:i:6:p:693-708

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