Comparison of non-parametric and semi-parametric tests in detecting long memory
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Cites work
- A fractional integration analysis of the population in some OECD countries
- AN INTRODUCTION TO LONG-MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING
- Asymptotic distributions of the sample mean, autocovariances, and autocorrelations of long-memory time series
- Asymptotic Theory of Certain "Goodness of Fit" Criteria Based on Stochastic Processes
- CLT and other limit theorems for functionals of Gaussian processes
- Estimation Methods of the Long Memory Parameter: Monte Carlo Analysis and Application
- ESTIMATORS FOR LONG-RANGE DEPENDENCE: AN EMPIRICAL STUDY
- Fractional differencing
- Gaussian semiparametric estimation of long range dependence
- Goodness-of-fit tests on a circle
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- Inference for unstable long-memory processes with applications to fractional unit root autoregressions
- Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root
- Limit theorems for functionals of moving averages
- Log-periodogram regression of time series with long range dependence
- Long-Term Memory in Stock Market Prices
- NON-GAUSSIAN LOG-PERIODOGRAM REGRESSION
- On the power of the KPSS test of stationarity against fractionally-integrated alternatives
- Plug‐in Selection of the Number of Frequencies in Regression Estimates of the Memory Parameter of a Long‐memory Time Series
- Rescaled variance and related tests for long memory in volatility and levels
- Stock market prices and long-range dependence
- Testing for a change of the long-memory parameter
- Testing for a unit root in time series regression
- Testing the null hypothesis of stationarity against the alternative of a unit root. How sure are we that economic time series have a unit root?
- Tests of Independence in Time Series
- The Asymptotic Distribution of the Range of Sums of Independent Random Variables
- THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS
- The Invariance Principle for Stationary Processes
- Time series: theory and methods.
- Weak convergence to fractional brownian motion and to the rosenblatt process
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