Trend stationarity versus long-range dependence in time series analysis

DOI10.1016/S0304-4076(01)00099-9MaRDI QIDQ1867710zbMATH OpenFDO

Authors F. Marmol, Carlos I. Hoyos Velasco

Publication date 2 April 2003

Published in Journal of Econometrics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/S0304-4076(01)00099-9

zbMATH Keywords

frequency domain estimationlocallong-range dependencespurious detrendingtrend stationarity

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)

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Cites work

• Alternative forms of fractional Brownian motion
• Fractional Brownian Motions, Fractional Noises and Applications
• Fractional integration, trend stationarity and difference stationarity
• scientific article; zbMATH DE number 1211743 (Why is no real title available?)
• scientific article; zbMATH DE number 847242 (Why is no real title available?)
• Inference-Without-Smoothing in the Presence of Nonparametric Autocorrelation
• Long memory processes and fractional integration in econometrics
• Non-stationary log-periodogram regression
• Residual log-periodogram inference for long-run relationships
• Semiparametric fractional cointegration analysis
• Spurios regression theory with nonstationary fractionally integrated processes
• The average periodogram for nonstationary vector time series
• Time Series Regression with a Unit Root
• Trends versus Random Walks in Time Series Analysis
• Weak convergence of multivariate fractional processes

Cited in

(10)

• Trends in distributional characteristics: existence of global warming
• Fractional cointegration in the presence of linear trends
• Discrimination between monotonic trends and long-range dependence
• Trends versus Random Walks in Time Series Analysis
• ESTIMATING TRENDING VARIABLES IN THE PRESENCE OF FRACTIONALLY INTEGRATED ERRORS
• Testing catching-up between the developing countries: ``Growth resistance and sometimes ``growth tragedy
• Infant mortality rates: time trends and fractional integration
• The Periodogram of fractional processes¹
• A CONVERGENT t-STATISTIC IN SPURIOUS REGRESSIONS
• Fractional integration, trend stationarity and difference stationarity

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