| Name : R-memochange
| |
| Version : 1.1.1
| Vendor : obs://build_opensuse_org/devel:languages:R
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| Release : lp155.16.1
| Date : 2024-06-21 02:47:16
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| Group : Development/Libraries/Other
| Source RPM : R-memochange-1.1.1-lp155.16.1.src.rpm
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| Size : 0.40 MB
| |
| Packager : https://www_suse_com/
| |
| Summary : Testing for Structural Breaks under Long Memory and Testing for Changes in Persistence
|
Description :
Test procedures and break point estimators for persistent processes
that exhibit structural breaks in mean or in persistence. On the one
hand the package contains the most popular approaches for testing
whether a time series exhibits a break in persistence from I(0) to I(1)
or vice versa, such as those of Busetti and Taylor (2004) and
Leybourne, Kim, and Taylor (2007). The approach by Martins and
Rodrigues (2014), which allows to detect changes from I(d1) to I(d2)
with d1 and d2 being non-integers, is included as well. In case the
tests reject the null of constant persistence, various breakpoint
estimators are available to detect the point of the break as well as
the order of integration in the two regimes. On the other hand the
package contains the most popular approaches to test for a
change-in-mean of a long-memory time series, which were recently
reviewed by Wenger, Leschinski, and Sibbertsen (2018). These include
memory robust versions of the CUSUM, sup-Wald, and Wilcoxon type tests.
The tests either utilize consistent estimates of the long-run variance
or a self normalization approach in their test statistics. Betken
(2016) < doi:10.1111/jtsa.12187> Busetti and Taylor (2004)
< doi:10.1016/j.jeconom.2003.10.028> Dehling, Rooch and Taqqu (2012)
< doi:10.1111/j.1467-9469.2012.00799.x> Harvey, Leybourne and Taylor
(2006) < doi:10.1016/j.jeconom.2005.07.002> Horvath and Kokoszka (1997)
< doi:10.1016/S0378-3758(96)00208-X> Hualde and Iacone (2017)
< doi:10.1016/j.econlet.2016.10.014> Iacone, Leybourne and Taylor (2014)
< doi:10.1111/jtsa.12049> Leybourne, Kim, Smith, and Newbold (2003)
< doi:10.1111/1368-423X.t01-1-00110> Leybourne and Taylor (2004)
< doi:10.1016/j.econlet.2003.12.015> Leybourne, Kim, and Taylor (2007):
< doi:10.1111/j.1467-9892.2006.00517.x> Martins and Rodrigues (2014)
< doi:10.1016/j.csda.2012.07.021> Shao (2011)
< doi:10.1111/j.1467-9892.2010.00717.x> Sibbertsen and Kruse (2009)
< doi:10.1111/j.1467-9892.2009.00611.x> Wang (2008)
< doi:10.1080/00949650701216604> Wenger, Leschinski and Sibbertsen
(2018) < doi:10.1016/j.econlet.2017.12.007>.
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RPM found in directory: /packages/linux-pbone/ftp5.gwdg.de/pub/opensuse/repositories/devel:/languages:/R:/autoCRAN/15.5/x86_64 |
