The sensitivity of detrended long-memory processes

DOI10.1080/03610926.2011.638426MaRDI QIDQ2864692zbMATH OpenOpenAlexFDO

Authors Anurag N. Banerjee

Publication date 26 November 2013

Published in Communications in Statistics. Theory and Methods (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610926.2011.638426

zbMATH Keywords

detrendinglong memorysensitivity measure

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cites work

• A Fractional Dickey-Fuller Test for Unit Roots
• Does the method of data detrending matter? A study of the KPSS test against long memory alternatives
• Efficient Wald Tests for Fractional Unit Roots
• scientific article; zbMATH DE number 54139 (Why is no real title available?)
• On the power of the KPSS test of stationarity against fractionally-integrated alternatives
• Some results on testing for stationarity using data detrended in differences
• Testing for strong serial correlation and dynamic conditional heteroskedasticity in multiple regression
• THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS
• The sensitivity of OLS when the variance matrix is (partially) unknown

Cited in

(2)

• Estimating autocorrelations in the presence of deterministic trends
• Gradual changes in long memory processes with applications

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