On the power of underdifferencing and overdifferencing tests against nearly nonstationary alternatives

DOI10.1080/03610919708813448MaRDI QIDQ4387627zbMATH OpenOpenAlexFDO

Authors Nuno Crato, Pedro J. F. de Lima

Publication date 5 May 1999

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

Full work available at URL https://doi.org/10.1080/03610919708813448

zbMATH Keywords

ARIMAARFIMAAR and MA unit roots

Mathematics Subject Classification ID

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

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Cites work

• ESTIMATION OF THE MEMORY PARAMETER FOR NONSTATIONARY OR NONINVERTIBLE FRACTIONALLY INTEGRATED PROCESSES
• Gaussian semiparametric estimation of long range dependence
• Log-periodogram regression of time series with long range dependence
• On the power of the KPSS test of stationarity against fractionally-integrated alternatives
• On the power of unit root tests against fractional alternatives
• SOME SIMPLE TESTS OF THE MOVING-AVERAGE UNIT ROOT HYPOTHESIS
• Stationary persistent time series misspecified as nonstationary arima
• THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS
• Testing for a unit root in time series regression
• The Fractional Unit Root Distribution
• The behaviour of the sample autocorrelation function for an integrated moving average process
• Time series: theory and methods.

Cited in

(4)

• RECOGNIZING OVERDIFFERENCED TIME SERIES
• Discrimination between nonstationary and nearly nonstationary processes, and its effect on forecasting
• On the performance of the DHF tests against nonstationary alternatives
• Discriminating between nonstationary and nearly nonstationary time series models: A simulation study

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