LAGRANGE MULTIPLIER TESTS FOR FRACTIONAL DIFFERENCE

DOI10.1111/j.1467-9892.1994.tb00190.xzbMath0800.62551OpenAlexW1994903784MaRDI QIDQ4299032

Christos Agiakloglou, Paul Newbold

Publication date: 29 June 1994

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9892.1994.tb00190.x

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: hypothesis testing (62M07)

Related Items (max. 100)

Unnamed Item ⋮ Long memory processes and fractional integration in econometrics ⋮ ADAPTIVE LONG MEMORY TESTING UNDER HETEROSKEDASTICITY ⋮ LONG MEMORY AND PERSISTENCE IN DOLLAR-BASED REAL EXCHANGE RATES ⋮ Bootstrapping long memory tests: some Monte Carlo results ⋮ Asymptotic normal tests for integration in panels with cross-dependent units ⋮ A SCORE TEST FOR SEASONAL FRACTIONAL INTEGRATION AND COINTEGRATION ⋮ Bias correction for the regression-based LM fractional integration test ⋮ Quasi-maximum likelihood estimation and bootstrap inference in fractional time series models with heteroskedasticity of unknown form ⋮ HETEROSKEDASTICITY-ROBUST TESTING FOR A FRACTIONAL UNIT ROOT ⋮ TESTING FOR GENERAL FRACTIONAL INTEGRATION IN THE TIME DOMAIN ⋮ Inference on the cointegration rank in fractionally integrated processes. ⋮ Bootstrap score tests for fractional integration in heteroskedastic ARFIMA models, with an application to price dynamics in commodity spot and futures markets

Cites Work

• Testing for strong serial correlation and dynamic conditional heteroskedasticity in multiple regression
• Efficient parameter estimation for self-similar processes
• Testing the specification of a fitted autoregressive-moving average model
• The equivalence of two tests of time series model adequacy
• Testing the adequacy of a time series model

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