Testing Fractional Order of Long Memory Processes: A Monte Carlo Study

DOI10.1080/03610911003646381zbMATH Open1192.62196OpenAlexW2060488600MaRDI QIDQ3577205FDOQ3577205

Laurent Ferrara, Dominique Guegan, Zhiping Lu

Publication date: 5 August 2010

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

Full work available at URL: https://doi.org/10.1080/03610911003646381

zbMATH Keywords

testMonte Carlo simulationslong memory processes

Mathematics Subject Classification ID

Parametric hypothesis testing (62F03) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Monte Carlo methods (65C05)

Cites Work

• Title not available (Why is that?)
• Fractionally integrated generalized autoregressive conditional heteroskedasticity
• Fractional differencing
• AN INTRODUCTION TO LONG-MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING
• Long memory processes and fractional integration in econometrics
• Title not available (Why is that?)
• Efficient Tests of Nonstationary Hypotheses
• A k-Factor GARMA Long-memory Model
• A generalized fractionally differencing approach in long-memory modeling
• Semiparametric inference in seasonal and cyclical long memory processes
• ON GENERALIZED FRACTIONAL PROCESSES
• Semiparametric robust tests on seasonal or cyclical long memory time series
• Testing of unit root and other nonstationary hypotheses in macroeconomic time series
• (MIS)SPECIFICATION OF LONG MEMORY IN SEASONAL TIME SERIES
• Evaluation of robinson's (1994) Tests in finite samples

Cited In (4)

• 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 and long range dependence of foreign exchange

Uses Software

• longmemo

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