References
- Bai , J and Perron , P . 2003 . Computation and analysis of multiple structural change model . Journal of Applied Econometrics , 18 : 1 – 22 .
- Dahl , CM and Gonzalez-Rivera , G . 2003 . Testing for neglected non-linearity in regression models based on the theory of random fields . Journal of Econometrics , 114 : 141 – 64 .
- Diebold , FX and Inoue , A . 2001 . Long memory and regime switching . Journal of Econometrics , 105 : 131 – 59 .
- Dolado , JJ , Gonzalo , J and Mayoral , L . 2002 . A fractional Dickey–Fuller test for unit roots . Econometrica , 70 : 1963 – 2006 .
- Doornik , J and Ooms , M . 1999 . A package for estimating Oxford : Nuffield College . forecasting and simulating ARFIMA models: arfima package 1.0 for OX, Discussion Paper
- Geweke , J and Porter-Hudak , S . 1983 . The estimation and application of long-memory time series models . Journal of Time Series Analysis , 4 : 221 – 37 .
- Gil-Alana , L . 2006 . Fractional Integration in daily stock market indexes . Review of Financial Economics , 15 : 28 – 48 .
- Hamilton , JD . 2001 . A parametric approach to flexible nonlinear inference . Econometrica , 69 : 537 – 73 .
- Shimotsu , K . 2006 . Exact local whittle estimation of fractional integration with unknown mean and time trend Working Papers No. 1061, Department of Economics, Queen's University