The exact maximum likelihood-based test for fractional cointegration: Critical values, power and size
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Publication:1780874
DOI10.1007/s10614-004-3544-xzbMath1062.62168OpenAlexW1968543913MaRDI QIDQ1780874
Valérie Mignon, Emmanuel Dubois, Sandrine Lardic
Publication date: 14 June 2005
Published in: Computational Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10614-004-3544-x
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Monte Carlo methods (65C05) Non-Markovian processes: hypothesis testing (62M07)
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Cites Work
- Efficient parameter estimation for self-similar processes
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- Small sample effects in time series analysis: A new asymptotic theory and a new estimate
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- Residual-Based Tests For Fractional Cointegration: A Monte Carlo Study
- THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS
- Fractional differencing
- AN INTRODUCTION TO LONG-MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING
- A Nonparametric Test for I(0)
- Long-Term Memory in Stock Market Prices
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