Testing of unit and fractional roots in the context of deterministic trends with weakly autocorrelated disturbances

zbMATH Open1272.62023MaRDI QIDQ367487FDOQ367487

Authors: Luis A. Gil-Alana 

Publication date: 16 September 2013

Published in: Brazilian Journal of Probability and Statistics (Search for Journal in Brave)

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zbMATH Keywords

fractional integrationlong memorydeterministic trends

Mathematics Subject Classification ID

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

Cited In (5)

• A consistent test for unit root against fractional alternative
• The power of the tests of robinson (1994) in the context of fractionall[y integrated moving average models
• The Tests of Robinson in the Context of AR(1) Disturbances
• Testing of I(\(d\)) statistical models with non-parametric disturbances
• A simple fractionally integrated model with a time-varying long memory parameter \(d_t\)

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