A test against spurious long memory
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Publication:3089159
DOI10.1198/JBES.2010.09153zbMATH Open1219.62140OpenAlexW1967985636MaRDI QIDQ3089159FDOQ3089159
Authors: Zhongjun Qu 
Publication date: 24 August 2011
Published in: Journal of Business and Economic Statistics (Search for Journal in Brave)
Full work available at URL: http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.212.4314
Recommendations
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Monte Carlo methods (65C05) Asymptotic distribution theory in statistics (62E20) Non-Markovian processes: hypothesis testing (62M07)
Cited In (43)
- Modelling long-range dependence and trends in duration series: an approach based on EFARIMA and ESEMIFAR models
- Long memory, spurious memory: persistence in range-based volatility of exchange rates
- Sign tests for long-memory time series
- Detecting long-range dependence for time-varying linear models
- Detection and attribution of climate change through econometric methods
- A fixed-\(b\) test for a break in level at an unknown time under fractional integration
- Empirical likelihood testing for memory parameter in Gaussian and non-Gaussion stationary time series
- Checking the correctness of memories
- When long memory meets the Kalman filter: a comparative study
- Long-run comovements in East Asian stock market volatility
- Wavelet-domain test for long-range dependence in the presence of a trend
- Long memory and stochastic trend.
- Structural breaks in time series
- Liquidity risk and the covered bond market in times of crisis: empirical evidence from Germany
- Robust discrimination between long-range dependence and a change in mean
- Estimation of the long-memory stochastic volatility model parameters that is robust to level shifts and deterministic trends
- Testing the null hypothesis of nonstationary long memory against the alternative hypothesis of a nonlinear ergodic model
- Parameter Estimation Robust to Low-Frequency Contamination
- A new simple test against spurious long memory using temporal aggregation
- Consistent inference for predictive regressions in persistent economic systems
- LONG MEMORY TESTING IN THE TIME DOMAIN
- Semiparametric detection of changes in long range dependence
- A modified test against spurious long memory
- A simple test of changes in mean in the possible presence of long-range dependence
- Testing the order of fractional integration of a time series in the possible presence of a trend break at an unknown point
- True versus spurious long memory: some theoretical results and a Monte Carlo comparison
- The sensitivity of detrended long-memory processes
- Robust testing of time trend and mean with unknown integration order errors
- Modified local Whittle estimator for long memory processes in the presence of low frequency (and other) contaminations
- Change-in-mean tests in long-memory time series: a review of recent developments
- MEMORY PARAMETER ESTIMATION IN THE PRESENCE OF LEVEL SHIFTS AND DETERMINISTIC TRENDS
- A test of the long memory hypothesis based on self-similarity
- Testing for a change in mean under fractional integration
- On distinguishing multiple changes in mean and long-range dependence using local Whittle estimation
- Autoregressive spectral estimates under ignored changes in the mean
- TESTING FOR LONG MEMORY
- Combining long memory and level shifts in modelling and forecasting the volatility of asset returns
- A multivariate test against spurious long memory
- Discriminating between long-range dependence and non-stationarity
- Testing for long memory in the presence of a general trend
- Fractional integration versus level shifts: the case of realized asset correlations
- Medium band least squares estimation of fractional cointegration in the presence of low-frequency contamination
- Statistical tests for a single change in mean against long-range dependence
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