ADAPTIVE LONG MEMORY TESTING UNDER HETEROSKEDASTICITY (Q5349015)

scientific article; zbMATH DE number 6763397

Language	Label	Description	Also known as
English	ADAPTIVE LONG MEMORY TESTING UNDER HETEROSKEDASTICITY	scientific article; zbMATH DE number 6763397

Statements

instance of

scholarly article

0 references

title

ADAPTIVE LONG MEMORY TESTING UNDER HETEROSKEDASTICITY (English)

0 references

zbMATH Open document ID

1441.62724

0 references

DOI

10.1017/S0266466615000481

0 references

published in

Econometric Theory

0 references

publication date

22 August 2017

0 references

Mathematics Subject Classification ID

0 references

0 references

0 references

0 references

0 references

MaRDI publication profile

0 references

cites work

LAGRANGE MULTIPLIER TESTS FOR FRACTIONAL DIFFERENCE

0 references

Distribution of Residual Autocorrelations in Autoregressive-Integrated Moving Average Time Series Models

0 references

Inference on the cointegration rank in fractionally integrated processes.

0 references

Testing against stochastic trend and seasonality in the presence of unattended breaks and unit roots

0 references

Adapting for heteroscedasticity in linear models

0 references

Unit Root Tests under Time-Varying Variances

0 references

Testing stationarity under a permanent variance shift

0 references

TESTING FOR UNIT ROOTS IN THE PRESENCE OF A POSSIBLE BREAK IN TREND AND NONSTATIONARY VOLATILITY

0 references

Testing for Unit Roots Under Multiple Possible Trend Breaks and Non-Stationary Volatility Using Bootstrap Minimum Dickey-Fuller Statistics

0 references

Bootstrap score tests for fractional integration in heteroskedastic ARFIMA models, with an application to price dynamics in commodity spot and futures markets

0 references

Lag Length Selection for Unit Root Tests in the Presence of Nonstationary Volatility

0 references

Testing for co-integration in vector autoregressions with non-stationary volatility

0 references

COINTEGRATION RANK TESTING UNDER CONDITIONAL HETEROSKEDASTICITY

0 references

Bootstrap Determination of the Co-Integration Rank in Heteroskedastic VAR Models

0 references

STATIONARITY TESTS UNDER TIME-VARYING SECOND MOMENTS

0 references

Testing the Null of Co-integration in the Presence of Variance Breaks

0 references

Testing for unit roots in time series models with non-stationary volatility

0 references

Testing for a change in persistence in the presence of non-stationary volatility

0 references

BOOTSTRAP UNIT ROOT TESTS FOR TIME SERIES WITH NONSTATIONARY VOLATILITY

0 references

Time-Transformed Unit Root Tests for Models with Non-Stationary Volatility

0 references

HETEROSKEDASTIC TIME SERIES WITH A UNIT ROOT

0 references

Cointegrating rank selection in models with time-varying variance

0 references

Asymptotically uniformly most powerful tests in parametric and semiparametric models

0 references

Nonstationary nonlinear heteroskedasticity in regression

0 references

A simple nonstationary-volatility robust panel unit root test

0 references

LONG MEMORY TESTING IN THE TIME DOMAIN

0 references

A Fractional Dickey-Fuller Test for Unit Roots

0 references

Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation

0 references

Local polynomial Whittle estimation of perturbed fractional processes

0 references

On Large-Sample Estimation and Testing in Parametric Models

0 references

Testing for a unit root in the presence of a variance shift

0 references

Regression with Nonstationary Volatility

0 references

PORTMANTEAU AUTOCORRELATION TESTS UNDER <i>Q</i> -DEPENDENCE AND HETEROSKEDASTICITY

0 references

EFFICIENT ESTIMATION OF NONSTATIONARY TIME SERIES REGRESSION

0 references

TESTING FOR GENERAL FRACTIONAL INTEGRATION IN THE TIME DOMAIN

0 references

Gaussian pseudo-maximum likelihood estimation of fractional time series models

0 references

A FAST FRACTIONAL DIFFERENCE ALGORITHM

0 references

Likelihood inference for a nonstationary fractional autoregressive model

0 references

THE ROLE OF INITIAL VALUES IN CONDITIONAL SUM-OF-SQUARES ESTIMATION OF NONSTATIONARY FRACTIONAL TIME SERIES MODELS

0 references

HETEROSKEDASTICITY-ROBUST TESTING FOR A FRACTIONAL UNIT ROOT

0 references

Unit root tests with a break in innovation variance.

0 references

Cointegrating Regressions with Time Heterogeneity

0 references

Empirical Likelihood-Based Inference in Conditional Moment Restriction Models

0 references

EFFICIENT IV ESTIMATION FOR AUTOREGRESSIVE MODELS WITH CONDITIONAL HETEROSKEDASTICITY

0 references

Adaptive Estimators and Tests of Stationary and Nonstationary Short- and Long-Memory ARFIMA–GARCH Models

0 references

On Fractionally Integrated Autoregressive Moving-Average Time Series Models With Conditional Heteroscedasticity

0 references

ASYMPTOTIC INFERENCE FOR NONSTATIONARY FRACTIONALLY INTEGRATED AUTOREGRESSIVE MOVING-AVERAGE MODELS

0 references

Optimal Fractional Dickey–Fuller tests

0 references

Efficient Wald Tests for Fractional Unit Roots

0 references

DIAGNOSTIC CHECKING ARMA TIME SERIES MODELS USING SQUARED-RESIDUAL AUTOCORRELATIONS

0 references

EFFICIENT LIKELIHOOD INFERENCE IN NONSTATIONARY UNIVARIATE MODELS

0 references

Asymptotics for the Conditional‐Sum‐of‐Squares Estimator in Multivariate Fractional Time‐Series Models

0 references

Determining the cointegrating rank in nonstationary fractional systems by the exact local Whittle approach

0 references

Testing for covariance stationarity in stock market data

0 references

Adaptive estimation of vector autoregressive models with time-varying variance: application to testing linear causality in mean

0 references

Corrected portmanteau tests for VAR models with time-varying variance

0 references

Testing Second-Order Dynamics for Autoregressive Processes in Presence of Time-Varying Variance

0 references

Local Whittle estimation in nonstationary and unit root cases.

0 references

Inference in Autoregression under Heteroskedasticity

0 references

Asymptotically Efficient Estimation in the Presence of Heteroskedasticity of Unknown Form

0 references

Testing for strong serial correlation and dynamic conditional heteroskedasticity in multiple regression

0 references

Efficient Tests of Nonstationary Hypotheses

0 references

Log-periodogram regression of time series with long range dependence

0 references

Gaussian semiparametric estimation of long range dependence

0 references

Gaussian semiparametric estimation of multivariate fractionally integrated processes

0 references

EXACT LOCAL WHITTLE ESTIMATION OF FRACTIONAL INTEGRATION WITH UNKNOWN MEAN AND TIME TREND

0 references

Pooled Log Periodogram Regression

0 references

Exact local Whittle estimation of fractional integration

0 references

Local Whittle estimation of fractional integration and some of its variants

0 references

BOOTSTRAP UNION TESTS FOR UNIT ROOTS IN THE PRESENCE OF NONSTATIONARY VOLATILITY

0 references

Nonlinear log-periodogram regression for perturbed fractional processes

0 references

THE NONSTATIONARY FRACTIONAL UNIT ROOT

0 references

Gaussian Semiparametric Estimation of Non-stationary Time Series

0 references

Bootstrapping Autoregression under Non-stationary Volatility

0 references

Robustifying multivariate trend tests to nonstationary volatility

0 references

Powerful tests for structural changes in volatility

0 references

Adaptive estimation of autoregressive models with time-varying variances

0 references

Towards Uniformly Efficient Trend Estimation Under Weak/Strong Correlation and Non‐stationary Volatility

0 references

Testing for structural change under non‐stationary variances

0 references

full work available at URL

https://doi.org/10.1017/s0266466615000481

0 references

OpenAlex ID

W2606738787

0 references

Sitelinks

Mathematics(1 entry)

mardi Publication:5349015