Testing for a break in persistence under long‐range dependencies
Work
Year: 2009
Type: article
Abstract: . We show that tests for a break in the persistence of a time series in the classical I (0)/ I (1) framework have serious size distortions when the actual data‐generating process (DGP) exhibits long‐r... more
Source: Journal of Time Series Analysis
Authors Philipp Sibbertsen, Robinson Kruse
Institution Aarhus University
Cites: 21
Cited by: 78
Related to: 10
FWCI: 5.279
Citation percentile (by year/subfield): 97.39
Subfield: Finance
Domain: Social Sciences
Open Access status: green