文章基本信息

标题：Estimating the Fractionally Integrated Model with a Break in the Differencing Parameter
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作者：Terence Tai-Leung Chong
期刊名称：Economics Bulletin
电子版ISSN：1545-2921
出版年度：2007
卷号：3
出版社：Economics Bulletin
摘要：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.