Testing Fractional Order of Long Memory Processes: A Monte Carlo Study
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Publication:3577205
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Cites work
- scientific article; zbMATH DE number 1715060 (Why is no real title available?)
- scientific article; zbMATH DE number 847242 (Why is no real title available?)
- (MIS)SPECIFICATION OF LONG MEMORY IN SEASONAL TIME SERIES
- A generalized fractionally differencing approach in long-memory modeling
- A k-Factor GARMA Long-memory Model
- AN INTRODUCTION TO LONG-MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING
- Efficient Tests of Nonstationary Hypotheses
- Evaluation of robinson's (1994) Tests in finite samples
- Fractional differencing
- Fractionally integrated generalized autoregressive conditional heteroskedasticity
- Long memory processes and fractional integration in econometrics
- ON GENERALIZED FRACTIONAL PROCESSES
- Semiparametric inference in seasonal and cyclical long memory processes
- Semiparametric robust tests on seasonal or cyclical long memory time series
- Testing of unit root and other nonstationary hypotheses in macroeconomic time series
Cited in
(7)- Finite sample performance of frequency- and time-domain tests for seasonal fractional integration
- Long memory and multifractality: a joint test
- Fractionally differenced Gegenbauer processes with long memory: a review
- LONG MEMORY IN FINANCIAL TIME SERIES DATA WITH NON-GAUSSIAN DISTURBANCES
- Testing unit roots of financial time series: an application to major stock markets in Asia-Pacific area
- Testing unit roots and long range dependence of foreign exchange
- Fractional integration with Bloomfield exponential spectral disturbances: a Monte Carlo experiment and an application
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