Fractional integration and structural breaks at unknown periods of time
研究了分数阶积分模型中未知时期的结构性断裂问题，提出基于网格搜索和最小二乘的估计方法，蒙特卡洛实验表明大样本下表现良好，并给出两个实证应用。
Abstract. This article deals with the analysis of structural breaks in the context of fractionally integrated models. We assume that the break dates are unknown and that the different sub‐samples possess different intercepts, slope coefficients and fractional orders of integration. The procedure is based on linear regression models using a grid of values for the fractional differencing parameters and least squares estimation. Several Monte Carlo experiments conducted across the study show that the procedure performs well if the sample size is large enough. Two empirical applications are described at the end of the article.