A multivariate test against spurious long memory
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Cites work
- scientific article; zbMATH DE number 3274494 (Why is no real title available?)
- A modified test against spurious long memory
- A semiparametric two-step estimator in a multivariate long memory model
- A test against spurious long memory
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- Long-memory processes. Probabilistic properties and statistical methods
- MEMORY PARAMETER ESTIMATION IN THE PRESENCE OF LEVEL SHIFTS AND DETERMINISTIC TRENDS
- Modified local Whittle estimator for long memory processes in the presence of low frequency (and other) contaminations
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Cited in
(9)- Long memory, spurious memory: persistence in range-based volatility of exchange rates
- Detecting long-range dependence for time-varying linear models
- A test against spurious long memory
- A new simple test against spurious long memory using temporal aggregation
- Estimation of slowly time-varying trend function in long memory regression models
- A fractional multivariate long memory model for the US and the Canadian real output
- A modified test against spurious long memory
- True versus spurious long memory: some theoretical results and a Monte Carlo comparison
- Change-in-mean tests in long-memory time series: a review of recent developments
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