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

MaRDI QIDQ367487zbMATH OpenFDO

Authors Luis A. Gil-Alana

Publication date 16 September 2013

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

zbMATH Keywords

fractional integrationlong memorydeterministic trends

Mathematics Subject Classification ID

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

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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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