The effect of additive outliers on a fractional unit root test (Q1622085): Difference between revisions

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+Modeling and Forecasting Realized Volatility
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+Jump-robust volatility estimation using nearest neighbor truncation
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+Long memory processes and fractional integration in econometrics
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+Handbook of Volatility Models and Their Applications
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+Joint Estimation of Model Parameters and Outlier Effects in Time Series
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+Distribution of the Estimators for Autoregressive Time Series With a Unit Root
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+THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS
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+AN INTRODUCTION TO LONG-MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING
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+Estimation of fractional integration in the presence of data noise
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+ESTIMATING THE PERSISTENCE AND THE AUTOCORRELATION FUNCTION OF A TIME SERIES THAT IS MEASURED WITH ERROR
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+Q4328700
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+Fractional differencing
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+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?
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+Long-Memory Errors in Time Series Regressions with a Unit Root
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+SEARCHING FOR ADDITIVE OUTLIERS IN NONSTATIONARY TIME SERIES*
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+Time Series Regression with a Unit Root
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+Estimation of Long Memory in Integrated Variance
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+Unit root tests for time series with outliers
@@ Property / cites work: Unit root tests for time series with outliers / rank @@
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+The Fractional Unit Root Distribution
@@ Property / cites work: The Fractional Unit Root Distribution / rank @@
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+Two Simple Procedures for Testing for a Unit Root When There are Additive Outliers
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