A modified test against spurious long memory
DOI10.1016/J.ECONLET.2015.07.019zbMATH Open1394.62168OpenAlexW1082768541MaRDI QIDQ1663949FDOQ1663949
Authors: Robinson Kruse 
Publication date: 24 August 2018
Published in: Economics Letters (Search for Journal in Brave)
Full work available at URL: https://research.rug.nl/en/publications/a-modified-test-against-spurious-long-memory(59495152-d8d3-422f-8ede-d0020d5f80fc).html
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Cites Work
- Testing for a break in trend when the order of integration is unknown
- A test against spurious long memory
- Efficient Tests of Nonstationary Hypotheses
- Long memory and regime switching
- Long-Memory and Level Shifts in the Volatility of Stock Market Return Indices
- MEMORY PARAMETER ESTIMATION IN THE PRESENCE OF LEVEL SHIFTS AND DETERMINISTIC TRENDS
- A stochastic volatility model with random level shifts and its applications to S&P 500 and NASDAQ return indices
- When long memory meets the Kalman filter: a comparative study
- Modified local Whittle estimator for long memory processes in the presence of low frequency (and other) contaminations
- True Versus Spurious Long Memory: Some Theoretical Results and a Monte Carlo Comparison
Cited In (2)
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