Unit roots: periodogram ordinate

DOI10.1016/J.SPL.2005.09.011zbMATH Open1087.62095OpenAlexW2082869475MaRDI QIDQ2489876FDOQ2489876

Authors B. B. Bhattacharyya, Gary Richardson, P. V. Flores 

Publication date 28 April 2006

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.spl.2005.09.011

zbMATH Keywords

fractionally integrated errors

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Asymptotic properties of parametric tests (62F05)

Recommendations

• Pfriodograms of unit root time series: distributions and tests
• Normalizations for periodogram-based unit root tests.
• Testing for unit roots in a nearly nonstationary spatial autoregressive process
• Unit roots test: spatial model with long memory errors
• Unit root log periodogram regression

Cites work

• scientific article; zbMATH DE number 3165668 (Why is no real title available?)
• scientific article; zbMATH DE number 486467 (Why is no real title available?)
• scientific article; zbMATH DE number 1054392 (Why is no real title available?)
• AN INTRODUCTION TO LONG-MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING
• Fractional Brownian Motions, Fractional Noises and Applications
• Fractional differencing
• Pfriodograms of unit root time series: distributions and tests
• Testing for unit roots in a nearly nonstationary spatial autoregressive process
• The Fractional Unit Root Distribution
• Time series: theory and methods.

Cited in

(3)

• Normalizations for periodogram-based unit root tests.
• Unit roots test: spatial model with long memory errors
• Testing for unit roots in a nearly nonstationary spatial autoregressive process

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