On the power of underdifferencing and overdifferencing tests against nearly nonstationary alternatives (Q4387627): Difference between revisions

Latest revision as of 11:32, 28 May 2024

scientific article; zbMATH DE number 1151723

Language	Label	Description	Also known as
English	On the power of underdifferencing and overdifferencing tests against nearly nonstationary alternatives	scientific article; zbMATH DE number 1151723

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instance of

scholarly article

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title

On the power of underdifferencing and overdifferencing tests against nearly nonstationary alternatives (English)

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Communications in Statistics - Simulation and Computation

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publication date

5 May 1999

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zbMATH Keywords

ARIMA

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ARFIMA

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AR and MA unit roots

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1080/03610919708813448

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cites work

SOME SIMPLE TESTS OF THE MOVING-AVERAGE UNIT ROOT HYPOTHESIS

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Time series: theory and methods.

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Stationary persistent time series misspecified as nonstationary arima

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THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS

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On the power of unit root tests against fractional alternatives

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ESTIMATION OF THE MEMORY PARAMETER FOR NONSTATIONARY OR NONINVERTIBLE FRACTIONALLY INTEGRATED PROCESSES

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On the power of the KPSS test of stationarity against fractionally-integrated alternatives

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Testing for a unit root in time series regression

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Log-periodogram regression of time series with long range dependence

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Gaussian semiparametric estimation of long range dependence

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The Fractional Unit Root Distribution

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The behaviour of the sample autocorrelation function for an integrated moving average process

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Identifiers

zbMATH Open document ID

0925.62390

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DOI

10.1080/03610919708813448

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:4387627

@@ Property / cites work @@
+SOME SIMPLE TESTS OF THE MOVING-AVERAGE UNIT ROOT HYPOTHESIS
+Normal rank
@@ Property / cites work @@
+Time series: theory and methods.
@@ Property / cites work: Time series: theory and methods. / rank @@
+Normal rank
@@ Property / cites work @@
+Stationary persistent time series misspecified as nonstationary arima
+Normal rank
@@ Property / cites work @@
+THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS
+Normal rank
@@ Property / cites work @@
+On the power of unit root tests against fractional alternatives
+Normal rank
@@ Property / cites work @@
+ESTIMATION OF THE MEMORY PARAMETER FOR NONSTATIONARY OR NONINVERTIBLE FRACTIONALLY INTEGRATED PROCESSES
+Normal rank
@@ Property / cites work @@
+On the power of the KPSS test of stationarity against fractionally-integrated alternatives
+Normal rank
@@ Property / cites work @@
+Testing for a unit root in time series regression
@@ Property / cites work: Testing for a unit root in time series regression / rank @@
+Normal rank
@@ Property / cites work @@
+Log-periodogram regression of time series with long range dependence
+Normal rank
@@ Property / cites work @@
+Gaussian semiparametric estimation of long range dependence
+Normal rank
@@ Property / cites work @@
+The Fractional Unit Root Distribution
@@ Property / cites work: The Fractional Unit Root Distribution / rank @@
+Normal rank
@@ Property / cites work @@
+The behaviour of the sample autocorrelation function for an integrated moving average process
+Normal rank