TESTS FOR FRACTIONAL INTEGRATION:A MONTE CARLO INVESTIGATION

DOI10.1111/j.1467-9892.1993.tb00149.xzbMath0800.62546OpenAlexW2127219551MaRDI QIDQ3141186

Yin-Wong Cheung

Publication date: 10 December 1993

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9892.1993.tb00149.x

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (18)

Maximum likelihood estimation of the fractional differencing parameter in an ARFIMA model using wavelets ⋮ An empirical investigation of the usefulness of ARFIMA models for predicting macroeconomic and financial time series ⋮ Estimation of the fractionally differencing parameter with the R/S method ⋮ The detection and estimation of long memory in stochastic volatility ⋮ Long memory processes and fractional integration in econometrics ⋮ Long-memory in high-frequency exchange rate volatility under temporal aggregation ⋮ Estimators for the long-memory parameter in LARCH models, and fractional Brownian motion ⋮ Parameter estimation for fractional Ornstein-Uhlenbeck processes at discrete observation ⋮ A novel auto-regressive fractionally integrated moving average–least-squares support vector machine model for electricity spot prices prediction ⋮ LONG MEMORY AND PERSISTENCE IN DOLLAR-BASED REAL EXCHANGE RATES ⋮ An alternative maximum likelihood estimator of long-memory processes using compactly supported wavelets ⋮ Waves and persistence in merger and acquisition activity ⋮ BAYESIAN ANALYSIS OF A FRACTIONAL COINTEGRATION MODEL ⋮ Semiparametric estimation of long-memory volatility dependencies: The role of high-frequency data ⋮ Estimating the differencing parameter via the partial autocorrelation function ⋮ Tests of long memory: a bootstrap approach ⋮ Inference on the cointegration rank in fractionally integrated processes. ⋮ Rescaled variance and related tests for long memory in volatility and levels

Cites Work

• Testing for strong serial correlation and dynamic conditional heteroskedasticity in multiple regression
• On estimation of a regression model with long-memory stationary errors
• The Fractional Unit Root Distribution
• Long-Term Memory in Stock Market Prices

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