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Inference on a Structural Break in Trend with Fractionally Integrated Errors. (2013). Perron, Pierre ; Chang, Seong Yeon.
In: Boston University - Department of Economics - Working Papers Series.
RePEc:bos:wpaper:wp2013-020.

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  34. Wang, Q., Lin, Y-X. and Gulati, C.M., 2003. Asymptotics for general fractionally integrated processes with applications to unit root tests, Econometric Theory, 19, 143-164. 0 50 100 150 200 (a) d=-0.2 date frequency 0 50 100 150 200 (b) d=0.3 0 50 100 150 200 (c) d=0.8 0 50 100 150 200 (d) d=1.3 (a) T=200 0 500 1000 1500 2000 (a) d=-0.2 date frequency 0 500 1000 1500 2000 (b) d=0.3 0 500 1000 1500 2000 (c) d=0.8 0 500 1000 1500 2000 (d) d=1.3 (b) T=2,000

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