Note on bandwidth selection in testing for long range dependence.

DOI10.1016/S0165-1765(02)00180-5MaRDI QIDQ1853704zbMATH OpenOpenAlexFDO

Authors Zhijie Xiao

Publication date 22 January 2003

Published in Economics Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/s0165-1765(02)00180-5

zbMATH Keywords

NonparametricBandwidth selectionSemiparametricIntegrated processLong-memory process

Mathematics Subject Classification ID

Statistical methods; economic indices and measures (91B82)

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Cites work

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• scientific article; zbMATH DE number 847242 (Why is no real title available?)
• A critical look at Lo's modified \(R/S\) statistic.
• Convergence of normalized quadratic forms
• ESTIMATORS FOR LONG-RANGE DEPENDENCE: AN EMPIRICAL STUDY
• Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
• Long-Term Memory in Stock Market Prices
• On the power of the KPSS test of stationarity against fractionally-integrated alternatives

Cited in

(3)

• Tests of long memory: a bootstrap approach
• Unit roots: a selective review of the contributions of Peter C. B. Phillips
• Robust inference in nonstationary time series models

Describes a project that uses

Uses Software

• longmemo

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