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| Terence Tai-Leung Chong |
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| ''Estimating the Fractionally Integrated Model with a Break in the Differencing Parameter'' |
| ( 2007, Vol. 3 No.67 ) |
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| 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. |
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| Keywords: |
JEL: C2 - Single Equation Models; Single Variables: General
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| Manuscript Received : Mar 07 2007 | | Manuscript Accepted : Dec 11 2007 |
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