Long memory and structural breaks in time series models
This thesis examines structural breaks in time series regressions where both regressors and errors may exhibit long range dependence. Statistical properties of methods for detecting and estimating structural breaks are analysed and asymptotic distribution of estimators and test statistics are obtain...
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London School of Economics and Political Science (University of London)
2006
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| Online Access: | http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.436132 |