TESTS FOR FRACTIONAL INTEGRATION:A MONTE CARLO INVESTIGATION

DOI10.1111/J.1467-9892.1993.TB00149.XzbMATH Open0800.62546OpenAlexW2127219551MaRDI QIDQ3141186FDOQ3141186

Authors: Yin-Wong Cheung 

Publication date: 10 December 1993

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9892.1993.tb00149.x

Mathematics Subject Classification ID

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

Cites Work

• The Fractional Unit Root Distribution
• Long-Term Memory in Stock Market Prices
• Testing for strong serial correlation and dynamic conditional heteroskedasticity in multiple regression
• On estimation of a regression model with long-memory stationary errors

Cited In (18)

• Estimating the differencing parameter via the partial autocorrelation function
• Semiparametric estimation of long-memory volatility dependencies: The role of high-frequency data
• Long memory processes and fractional integration in econometrics
• The detection and estimation of long memory in stochastic volatility
• Estimation of the fractionally differencing parameter with the R/S method
• A novel auto-regressive fractionally integrated moving average–least-squares support vector machine model for electricity spot prices prediction
• Parameter estimation for fractional Ornstein-Uhlenbeck processes at discrete observation
• Long-memory in high-frequency exchange rate volatility under temporal aggregation
• Rescaled variance and related tests for long memory in volatility and levels
• Maximum likelihood estimation of the fractional differencing parameter in an ARFIMA model using wavelets
• Inference on the cointegration rank in fractionally integrated processes.
• Estimators for the long-memory parameter in LARCH models, and fractional Brownian motion
• Tests of long memory: a bootstrap approach
• BAYESIAN ANALYSIS OF A FRACTIONAL COINTEGRATION MODEL
• An alternative maximum likelihood estimator of long-memory processes using compactly supported wavelets
• LONG MEMORY AND PERSISTENCE IN DOLLAR-BASED REAL EXCHANGE RATES
• An empirical investigation of the usefulness of ARFIMA models for predicting macroeconomic and financial time series
• Waves and persistence in merger and acquisition activity

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