Testing of I(d) statistical models with non-parametric disturbances

MaRDI QIDQ3654503zbMATH OpenFDO

Authors Luis A. Gil-Alana

Publication date 6 January 2010

Full work available at URL http://pphmj.com/abstract/4449.htm

zbMATH Keywords

fractional integrationlong memory

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Monte Carlo methods (65C05)

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Cited in

(5)

• The power of the tests of robinson (1994) in the context of fractionall[y integrated moving average models
• Testing of unit and fractional roots in the context of deterministic trends with weakly autocorrelated disturbances
• Testing the Error Components Model with Non-Normal Disturbances
• A Nonparametric Test for I(0)
• On semiparametric testing of I(d) by FEXP models

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