Matches in SemOpenAlex for { <https://semopenalex.org/work/W2623127822> ?p ?o ?g. }
- W2623127822 endingPage "920" @default.
- W2623127822 startingPage "904" @default.
- W2623127822 abstract "ABSTRACTIn long-memory data sets such as the realized volatilities of financial assets, a sequential test is developed for the detection of structural mean breaks. The long memory, if any, is adjusted by fitting an HAR (heterogeneous autoregressive) model to the data sets and taking the residuals. Our test consists of applying the sequential test of Bai and Perron [Estimating and testing linear models with multiple structural changes. Econometrica. 1998;66:47–78] to the residuals. The large-sample validity of the proposed test is investigated in terms of the consistency of the estimated number of breaks and the asymptotic null distribution of the proposed test. A finite-sample Monte-Carlo experiment reveals that the proposed test tends to produce an unbiased break time estimate, while the usual sequential test of Bai and Perron tends to produce biased break times in the case of long memory. The experiment also reveals that the proposed test has a more stable size than the Bai and Perron test. The proposed..." @default.
- W2623127822 created "2017-06-15" @default.
- W2623127822 creator A5050885102 @default.
- W2623127822 creator A5068103960 @default.
- W2623127822 date "2017-06-09" @default.
- W2623127822 modified "2023-10-17" @default.
- W2623127822 title "Estimation of structural mean breaks for long-memory data sets" @default.
- W2623127822 cites W1491711721 @default.
- W2623127822 cites W1512538456 @default.
- W2623127822 cites W1544178588 @default.
- W2623127822 cites W1711937294 @default.
- W2623127822 cites W1966922585 @default.
- W2623127822 cites W1983739056 @default.
- W2623127822 cites W1983957462 @default.
- W2623127822 cites W1999747140 @default.
- W2623127822 cites W2032795855 @default.
- W2623127822 cites W2044301053 @default.
- W2623127822 cites W2049723111 @default.
- W2623127822 cites W2053786269 @default.
- W2623127822 cites W2057851105 @default.
- W2623127822 cites W2072550072 @default.
- W2623127822 cites W2105009836 @default.
- W2623127822 cites W2108630145 @default.
- W2623127822 cites W2110769522 @default.
- W2623127822 cites W2115877181 @default.
- W2623127822 cites W2132090039 @default.
- W2623127822 cites W2138200903 @default.
- W2623127822 cites W2146134639 @default.
- W2623127822 cites W2146270957 @default.
- W2623127822 cites W2163537640 @default.
- W2623127822 cites W2163757898 @default.
- W2623127822 cites W2261386584 @default.
- W2623127822 cites W3098561233 @default.
- W2623127822 cites W3105334025 @default.
- W2623127822 cites W3124910872 @default.
- W2623127822 cites W4231510292 @default.
- W2623127822 doi "https://doi.org/10.1080/02331888.2017.1335314" @default.
- W2623127822 hasPublicationYear "2017" @default.
- W2623127822 type Work @default.
- W2623127822 sameAs 2623127822 @default.
- W2623127822 citedByCount "3" @default.
- W2623127822 countsByYear W26231278222018 @default.
- W2623127822 countsByYear W26231278222022 @default.
- W2623127822 crossrefType "journal-article" @default.
- W2623127822 hasAuthorship W2623127822A5050885102 @default.
- W2623127822 hasAuthorship W2623127822A5068103960 @default.
- W2623127822 hasConcept C105795698 @default.
- W2623127822 hasConcept C118615104 @default.
- W2623127822 hasConcept C124101348 @default.
- W2623127822 hasConcept C149782125 @default.
- W2623127822 hasConcept C159877910 @default.
- W2623127822 hasConcept C185429906 @default.
- W2623127822 hasConcept C185592680 @default.
- W2623127822 hasConcept C186008389 @default.
- W2623127822 hasConcept C191988596 @default.
- W2623127822 hasConcept C19499675 @default.
- W2623127822 hasConcept C198531522 @default.
- W2623127822 hasConcept C203763787 @default.
- W2623127822 hasConcept C2776436953 @default.
- W2623127822 hasConcept C28826006 @default.
- W2623127822 hasConcept C2986394398 @default.
- W2623127822 hasConcept C33923547 @default.
- W2623127822 hasConcept C41008148 @default.
- W2623127822 hasConcept C43617362 @default.
- W2623127822 hasConcept C65778772 @default.
- W2623127822 hasConcept C87007009 @default.
- W2623127822 hasConcept C91602232 @default.
- W2623127822 hasConceptScore W2623127822C105795698 @default.
- W2623127822 hasConceptScore W2623127822C118615104 @default.
- W2623127822 hasConceptScore W2623127822C124101348 @default.
- W2623127822 hasConceptScore W2623127822C149782125 @default.
- W2623127822 hasConceptScore W2623127822C159877910 @default.
- W2623127822 hasConceptScore W2623127822C185429906 @default.
- W2623127822 hasConceptScore W2623127822C185592680 @default.
- W2623127822 hasConceptScore W2623127822C186008389 @default.
- W2623127822 hasConceptScore W2623127822C191988596 @default.
- W2623127822 hasConceptScore W2623127822C19499675 @default.
- W2623127822 hasConceptScore W2623127822C198531522 @default.
- W2623127822 hasConceptScore W2623127822C203763787 @default.
- W2623127822 hasConceptScore W2623127822C2776436953 @default.
- W2623127822 hasConceptScore W2623127822C28826006 @default.
- W2623127822 hasConceptScore W2623127822C2986394398 @default.
- W2623127822 hasConceptScore W2623127822C33923547 @default.
- W2623127822 hasConceptScore W2623127822C41008148 @default.
- W2623127822 hasConceptScore W2623127822C43617362 @default.
- W2623127822 hasConceptScore W2623127822C65778772 @default.
- W2623127822 hasConceptScore W2623127822C87007009 @default.
- W2623127822 hasConceptScore W2623127822C91602232 @default.
- W2623127822 hasFunder F4320322120 @default.
- W2623127822 hasIssue "4" @default.
- W2623127822 hasLocation W26231278221 @default.
- W2623127822 hasOpenAccess W2623127822 @default.
- W2623127822 hasPrimaryLocation W26231278221 @default.
- W2623127822 hasRelatedWork W1972957143 @default.
- W2623127822 hasRelatedWork W2029385782 @default.
- W2623127822 hasRelatedWork W2071077058 @default.
- W2623127822 hasRelatedWork W2333391021 @default.
- W2623127822 hasRelatedWork W2552050053 @default.