LAGRANGE MULTIPLIER TESTS FOR FRACTIONAL DIFFERENCE
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Cites work
- Efficient parameter estimation for self-similar processes
- Testing for strong serial correlation and dynamic conditional heteroskedasticity in multiple regression
- Testing the adequacy of a time series model
- Testing the specification of a fitted autoregressive-moving average model
- The equivalence of two tests of time series model adequacy
Cited in
(13)- Inference on the cointegration rank in fractionally integrated processes.
- Long memory processes and fractional integration in econometrics
- Asymptotic normal tests for integration in panels with cross-dependent units
- Quasi-maximum likelihood estimation and bootstrap inference in fractional time series models with heteroskedasticity of unknown form
- Bootstrap score tests for fractional integration in heteroskedastic ARFIMA models, with an application to price dynamics in commodity spot and futures markets
- Long memory and fractional differencing: revisiting Clive W. J. Granger's contributions and further developments
- Heteroskedasticity-robust testing for a fractional unit root
- TESTING FOR GENERAL FRACTIONAL INTEGRATION IN THE TIME DOMAIN
- A SCORE TEST FOR SEASONAL FRACTIONAL INTEGRATION AND COINTEGRATION
- Adaptive long memory testing under heteroskedasticity
- LONG MEMORY AND PERSISTENCE IN DOLLAR-BASED REAL EXCHANGE RATES
- Bias correction for the regression-based LM fractional integration test
- Bootstrapping long memory tests: some Monte Carlo results
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