A comparison of the robustness of several tests of short memory to autocorrelated errors

DOI10.1515/2156-6674.1002zbMATH Open1279.62179OpenAlexW2226419515MaRDI QIDQ2870566FDOQ2870566

Authors: Christine Amsler, Peter Schmidt 

Publication date: 21 January 2014

Published in: Journal of Econometric Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/2156-6674.1002

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zbMATH Keywords

stationarityrobustnessshort memory

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Nonparametric robustness (62G35) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Cited In (4)

• Size and power of tests of stationarity in highly autocorrelated time series
• The Error in Rejection Probability of Simple Autocorrelation Robust Tests
• A test of the null of integer integration against the alternative of fractional integration
• Simple robust tests for autocorrelated errors in time series design intervention models

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