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

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