Estimating multiple breaks in mean sequentially with fractionally integrated errors

Daiqing Xi () and Tianxiao Pang ()
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Daiqing Xi: Zhejiang University
Tianxiao Pang: Zhejiang University

Statistical Papers, 2021, vol. 62, issue 1, No 18, 494 pages

Abstract: Abstract This paper studies the estimation issue for multiple breaks in mean when the model errors are fractionally integrated processes of order d with $$-0.5

Keywords: Fractionally integrated processes; Least squares method; Limiting distributions; Multiple breaks; 60F05; 62F12 (search for similar items in EconPapers)
Date: 2021
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DOI: 10.1007/s00362-019-01104-z

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