The sensitivity of detrended long-memory processes
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Publication:2864692
DOI10.1080/03610926.2011.638426zbMATH Open1277.62204OpenAlexW2318327795MaRDI QIDQ2864692FDOQ2864692
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
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Cites Work
- Title not available (Why is that?)
- THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS
- Efficient Wald Tests for Fractional Unit Roots
- A Fractional Dickey-Fuller Test for Unit Roots
- Testing for strong serial correlation and dynamic conditional heteroskedasticity in multiple regression
- The sensitivity of OLS when the variance matrix is (partially) unknown
- On the power of the KPSS test of stationarity against fractionally-integrated alternatives
- Does the method of data detrending matter? A study of the KPSS test against long memory alternatives
- Some results on testing for stationarity using data detrended in differences
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