LAGRANGE MULTIPLIER TESTS FOR FRACTIONAL DIFFERENCE

DOI10.1111/J.1467-9892.1994.TB00190.XMaRDI QIDQ4299032zbMATH OpenOpenAlexFDO

Authors Christos Agiakloglou, Paul Newbold

Publication date 29 June 1994

Published in Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/j.1467-9892.1994.tb00190.x

Mathematics Subject Classification ID

Non-Markovian processes: hypothesis testing (62M07) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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

This page was built for publication: LAGRANGE MULTIPLIER TESTS FOR FRACTIONAL DIFFERENCE

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4299032)