A Nonparametric Test for I(0)

DOI10.1111/1467-937X.00054MaRDI QIDQ4219773zbMATH OpenOpenAlexFDO

Authors I. N. Lobato, Peter M. Robinson

Publication date 19 April 1999

Published in Review of Economic Studies (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/1467-937x.00054

zbMATH Keywords

autocorrelation-consistent variance estimationMonte Carlo analysis

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Statistical methods; economic indices and measures (91B82)

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• Rescaled variance and related tests for long memory in volatility and levels
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• Asymptotic behavior of weakly dependent aggregated processes
• Minimum distance lack-of-fit tests under long memory errors
• The increment ratio statistic
• Parametric estimation for ARFIMA models via spectral methods
• On discriminating between long-range dependence and changes in mean
• An automatic portmanteau test for serial correlation
• Modelling structural breaks, long memory and stock market volatility: an overview
• A parametric bootstrap test for cycles
• Fully modified narrow-band least squares estimation of weak fractional cointegration
• More on the volatility-trading volume relationship in emerging markets: The Chinese stock market
• Testing for the Markov property in time series
• An Empirical Strategy to Detect Spurious Effects in Long Memory and Occasional-Break Processes
• TESTING FOR LONG MEMORY
• THE IMPOSSIBILITY OF CONSISTENT DISCRIMINATION BETWEEN I(0) AND I(1) PROCESSES
• Nonparametric specification testing for nonlinear time series with nonstationarity
• Testing of I(\(d\)) statistical models with non-parametric disturbances
• DECIDING BETWEEN I(0) AND I(1) VIA FLIL-BASED BOUNDS
• A nondegenerate Vuong test
• When is a time-series I(0)?
• LOG-PERIODOGRAM ESTIMATION OF LONG MEMORY VOLATILITY DEPENDENCIES WITH CONDITIONALLY HEAVY TAILED RETURNS
• On semiparametric testing of I(d) by FEXP models
• Local Whittle estimation of long-range dependence for functional time series
• scientific article; zbMATH DE number 7578267 (Why is no real title available?)
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• The slow convergence of ordinary least squares estimators of \(\alpha, \beta\) and portfolio weights under long-memory stochastic volatility
• Highly Insignificant F-Ratios
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• Semiparametric fractional cointegration analysis
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• Semiparametric Tests for the Order of Integration in the Possible Presence of Level Breaks
• The Estimation and Testing of the Cointegration Order Based on the Frequency Domain
• A frequency-domain test for long range dependence
• Statistical testing for long-range dependence in the workload of a single-server queue
• Testing mean stability of heteroskedastic time series
• Nonparametric detection of a time-varying mean
• The modified conditional sum-of-squares estimator for fractionally integrated models
• Bootstrap long memory processes in the frequency domain
• Local asymptotic powers of nonparametric and semiparametric tests for fractional integration
• Nonparametric hypothesis testing for small type I errors. I
• Bootstrapping long memory tests: some Monte Carlo results
• A two-sample test for comparison of long memory parameters

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