LONG MEMORY TESTING IN THE TIME DOMAIN
From MaRDI portal
Recommendations
Cites work
- A Fractional Dickey-Fuller Test for Unit Roots
- Efficient Tests of Nonstationary Hypotheses
- Fractional integration and the augmented Dickey--Fuller test
- Gaussian Semiparametric Estimation of Non-stationary Time Series
- Generalized autoregressive conditional heteroscedasticity
- Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
- scientific article; zbMATH DE number 3860263 (Why is no real title available?)
- Inference on the cointegration rank in fractionally integrated processes.
- Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root
- ON THE ASYMPTOTICS OF ADF TESTS FOR UNIT ROOTS
- On the power of unit root tests against fractional alternatives
- Prediction of multivariate time series by autoregressive model fitting
- Robust automatic bandwidth for long memory
- Testing for strong serial correlation and dynamic conditional heteroskedasticity in multiple regression
- Testing for unit roots in autoregressive-moving average models of unknown order
- The Fractional Unit Root Distribution
- Unit Root Tests in ARMA Models with Data-Dependent Methods for the Selection of the Truncation Lag
Cited in
(30)- Testing for persistence change in fractionally integrated models: an application to world inflation rates
- Inference for unstable long-memory processes with applications to fractional unit root autoregressions
- Asymptotic normal tests for integration in panels with cross-dependent units
- Testing for boundary conditions in case of fractionally integrated processes
- Quasi-maximum likelihood estimation and bootstrap inference in fractional time series models with heteroskedasticity of unknown form
- A moment-based notion of time dependence for functional time series
- Bootstrap score tests for fractional integration in heteroskedastic ARFIMA models, with an application to price dynamics in commodity spot and futures markets
- Testing long memory based on a discretely observed process
- Sign tests for long-memory time series
- Testing unit roots and long range dependence of foreign exchange
- Long memory and fractional differencing: revisiting Clive W. J. Granger's contributions and further developments
- A test against spurious long memory
- Wald tests of I(1) against I(d) alternatives: some new properties and an extension to processes with trending components
- An Omnibus Test for Time Series ModelI(d)
- TESTING FOR LONG MEMORY
- Heteroskedasticity-robust testing for a fractional unit root
- TESTING FOR GENERAL FRACTIONAL INTEGRATION IN THE TIME DOMAIN
- Testing for the cointegrating rank of a vector autoregressive process with uncertain deterministic trend term
- Semiparametric robust tests on seasonal or cyclical long memory time series
- Simple Wald tests of the fractional integration parameter: an overview of new results
- Robust Dickey-Fuller tests based on ranks for time series with additive outliers
- Harmonically Weighted Processes
- Infant mortality rates: time trends and fractional integration
- Finite sample performance of frequency- and time-domain tests for seasonal fractional integration
- Adaptive long memory testing under heteroskedasticity
- LONG MEMORY IN FINANCIAL TIME SERIES DATA WITH NON-GAUSSIAN DISTURBANCES
- Testing for a rational bubble under long memory
- Least Squares Estimation in Nonstationary Nonlinear Cohort Panels with Learning from Experience
- Bias correction for the regression-based LM fractional integration test
- Local asymptotic powers of nonparametric and semiparametric tests for fractional integration
This page was built for publication: LONG MEMORY TESTING IN THE TIME DOMAIN
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3632376)
