On the power of underdifferencing and overdifferencing tests against nearly nonstationary alternatives
From MaRDI portal
Publication:4387627
DOI10.1080/03610919708813448zbMath0925.62390OpenAlexW1978469881MaRDI QIDQ4387627
Pedro J. F. de Lima, Nuno Crato
Publication date: 5 May 1999
Published in: Communications in Statistics - Simulation and Computation (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/03610919708813448
Cites Work
- Time series: theory and methods.
- On the power of unit root tests against fractional alternatives
- Stationary persistent time series misspecified as nonstationary arima
- Log-periodogram regression of time series with long range dependence
- Gaussian semiparametric estimation of long range dependence
- On the power of the KPSS test of stationarity against fractionally-integrated alternatives
- THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS
- The Fractional Unit Root Distribution
- Testing for a unit root in time series regression
- SOME SIMPLE TESTS OF THE MOVING-AVERAGE UNIT ROOT HYPOTHESIS
- ESTIMATION OF THE MEMORY PARAMETER FOR NONSTATIONARY OR NONINVERTIBLE FRACTIONALLY INTEGRATED PROCESSES
- The behaviour of the sample autocorrelation function for an integrated moving average process
This page was built for publication: On the power of underdifferencing and overdifferencing tests against nearly nonstationary alternatives