The Tests of Robinson in the Context of AR(1) Disturbances

DOI10.1081/SAC-200040256zbMATH Open1101.62366OpenAlexW2085286356MaRDI QIDQ3155649FDOQ3155649

Authors: Luis A. Gil-Alana 

Publication date: 17 January 2005

Published in: Communications in Statistics. Simulation and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1081/sac-200040256

Recommendations

• Evaluation of robinson's (1994) Tests in finite samples
• The tests of Robinson (1994) for fractional integration. Time domain versus frequency domain
• Testing of unit and fractional roots in the context of deterministic trends with weakly autocorrelated disturbances
• On finite sample properties of the tests of robinson (1994) for fractional integration
• The power of the tests of robinson (1994) in the context of fractionall[y integrated moving average models

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Monte Carlo methods (65C05)

Cites Work

• Title not available (Why is that?)
• Semiparametric analysis of long-memory time series
• Log-periodogram regression of time series with long range dependence
• Gaussian semiparametric estimation of long range dependence
• Testing for a unit root in time series regression
• Efficient Tests of Nonstationary Hypotheses
• Testing the null hypothesis of stationarity against the alternative of a unit root. How sure are we that economic time series have a unit root?
• Testing of unit root and other nonstationary hypotheses in macroeconomic time series
• Mean reversion in the real exchange rates

Cited In (7)

• On finite sample properties of the tests of robinson (1994) for fractional integration
• A comparison of the robustness of several tests of short memory to autocorrelated errors
• The power of the tests of robinson (1994) in the context of fractionall[y integrated moving average models
• LONG MEMORY IN FINANCIAL TIME SERIES DATA WITH NON-GAUSSIAN DISTURBANCES
• Testing of I(\(d\)) statistical models with non-parametric disturbances
• Testing of unit and fractional roots in the context of deterministic trends with weakly autocorrelated disturbances
• Evaluation of robinson's (1994) Tests in finite samples

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