On the power of the KPSS test of stationarity against fractionally-integrated alternatives (Q1922367): Difference between revisions

From MaRDI portal
Importer (talk | contribs)
Created a new Item
 
ReferenceBot (talk | contribs)
Changed an Item
 
(3 intermediate revisions by 3 users not shown)
Property / MaRDI profile type
 
Property / MaRDI profile type: MaRDI publication profile / rank
 
Normal rank
Property / full work available at URL
 
Property / full work available at URL: https://doi.org/10.1016/0304-4076(95)01741-0 / rank
 
Normal rank
Property / OpenAlex ID
 
Property / OpenAlex ID: W1966964362 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Non-strong mixing autoregressive processes / rank
 
Normal rank
Property / cites work
 
Property / cites work: Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation / rank
 
Normal rank
Property / cites work
 
Property / cites work: The Fitting of Time-Series Models / rank
 
Normal rank
Property / cites work
 
Property / cites work: Long memory relationships and the aggregation of dynamic models / rank
 
Normal rank
Property / cites work
 
Property / cites work: AN INTRODUCTION TO LONG-MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING / rank
 
Normal rank
Property / cites work
 
Property / cites work: Fractional differencing / rank
 
Normal rank
Property / cites work
 
Property / cites work: Asymptotic distributions of the sample mean, autocovariances, and autocorrelations of long-memory time series / rank
 
Normal rank
Property / cites work
 
Property / cites work: Testing the null hypothesis of stationarity against the alternative of a unit root. How sure are we that economic time series have a unit root? / rank
 
Normal rank
Property / cites work
 
Property / cites work: Long-Term Memory in Stock Market Prices / rank
 
Normal rank
Property / cites work
 
Property / cites work: Properties of sequences of partial sums of polynomial regression residuals with applications to tests for change of regression at unknown times / rank
 
Normal rank
Property / cites work
 
Property / cites work: Fractional Brownian Motions, Fractional Noises and Applications / rank
 
Normal rank
Property / cites work
 
Property / cites work: A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix / rank
 
Normal rank
Property / cites work
 
Property / cites work: Time Series Regression with a Unit Root / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q3713481 / rank
 
Normal rank
Property / cites work
 
Property / cites work: The Fractional Unit Root Distribution / rank
 
Normal rank
Property / cites work
 
Property / cites work: Weak convergence to fractional brownian motion and to the rosenblatt process / rank
 
Normal rank
Property / cites work
 
Property / cites work: On the fitting of multivariate autoregressions, and the approximate canonical factorization of a spectral density matrix / rank
 
Normal rank
links / mardi / namelinks / mardi / name
 

Latest revision as of 13:18, 24 May 2024

scientific article
Language Label Description Also known as
English
On the power of the KPSS test of stationarity against fractionally-integrated alternatives
scientific article

    Statements

    On the power of the KPSS test of stationarity against fractionally-integrated alternatives (English)
    0 references
    0 references
    24 February 1997
    0 references
    fractional integration
    0 references
    null hypothesis of stationarity
    0 references
    stationary long memory alternatives
    0 references
    short memory process
    0 references

    Identifiers