A SCORE TEST FOR SEASONAL FRACTIONAL INTEGRATION AND COINTEGRATION

DOI10.1081/ETC-100104081MaRDI QIDQ4406237zbMATH OpenFDO

Authors Param Silvapulle

Publication date 25 June 2003

Published in Econometric Reviews (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1081/ETC-100104081

zbMATH Keywords

ARIMAfractional cointegrationlong-memoryone-sided alternativesseasonal fractional rootstables

Mathematics Subject Classification ID

Parametric hypothesis testing (62F03) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)

Recommendations

• scientific article; zbMATH DE number 2217285
• Deterministic seasonality versus seasonal fractional integration
• Seasonal integration and cointegration
• Seasonal cointegration. The Japanese consumption function (with discussion)
• TESTS FOR SEASONAL COINTEGRATION USING PRINCIPAL COMPONENTS

Cites work

• (MIS)SPECIFICATION OF LONG MEMORY IN SEASONAL TIME SERIES
• AN INTRODUCTION TO LONG-MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING
• Co-Integration and Error Correction: Representation, Estimation, and Testing
• Efficient Tests of Nonstationary Hypotheses
• ESTIMATION OF THE LONG-MEMORY PARAMETER, BASED ON A MULTIVARIATE CENTRAL LIMIT THEOREM
• Fractional differencing
• scientific article; zbMATH DE number 3565994 (Why is no real title available?)
• LAGRANGE MULTIPLIER TESTS FOR FRACTIONAL DIFFERENCE
• Large-sample properties of parameter estimates for strongly dependent stationary Gaussian time series
• Long memory processes and fractional integration in econometrics
• Long-Term Memory in Stock Market Prices
• MODELING LONG-MEMORY PROCESSES FOR OPTIMAL LONG-RANGE PREDICTION
• REGRESSION OF SPECTRAL ESTIMATORS WITH FRACTIONALLY INTEGRATED TIME SERIES
• Seasonal cointegration. The Japanese consumption function (with discussion)
• Seasonal integration and cointegration
• THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS

Cited in

(6)

• Deterministic seasonality versus seasonal fractional integration
• The performance of the overall tests of seasonal integration against nonstationary alternatives: A unifying approach
• scientific article; zbMATH DE number 5310465 (Why is no real title available?)
• A bivariate fractionally cointegrated relationship in the context of cyclical structures
• scientific article; zbMATH DE number 1395879 (Why is no real title available?)
• scientific article; zbMATH DE number 2217285 (Why is no real title available?)

This page was built for publication: A SCORE TEST FOR SEASONAL FRACTIONAL INTEGRATION AND COINTEGRATION

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4406237)